定期分析报告 12 月份市场概要 12 月份国际主要股指表现较好,STOXX 欧洲 日经 225 与标普 500 皆收涨 14 日, 美联储加息 25 个基点, 符合市场预期, 为今年来第三次加息 ;19 号, 世界银行把对中国 2017 年经济增长的预期从 10 月份的 6.7% 上调至 6.8%

定期分析报告 中证指数 12 月份运行报告 目录 12 月份市场概要... 1 A 股主要指数表现... 2 沪深 300 指数分析... 3 主题及行业指数表现... 5 策略指数表现... 6 商品期货指数表现... 8 表 1: 成份指数市场数据... 9 表 2: 综合指数市场数据... 11 表 3: 主题指数市场数据... 12 表 4: 风格指数市场数据... 19 表 5: 红利指数市场数据... 20 表 6: 策略指数市场数据... 22 表 7: 基本面指数市场数据... 25

定期分析报告 12 月份市场概要 12 月份国际主要股指表现较好,STOXX 欧洲 日经 225 与标普 500 皆收涨 14 日, 美联储加息 25 个基点, 符合市场预期, 为今年来第三次加息 ;19 号, 世界银行把对中国 2017 年经济增长的预期从 10 月份的 6.7% 上调至 6.8%, 理由是个人消费和外贸支撑了经济增长 ;22 日上午, 总统特朗普正式签署 减税与就业法案, 将于 2018 年 1 月份正式开始实施 ; 月内, 标普 500 指数继续上涨, 月中创下 2694.97 点的最高纪录, 月末收至 2673.61 点, 全月上涨 0.98% 日经 225 指数上涨 0.18%, 香港 100 指数涨幅达 3.08%, STOXX 欧洲 600 涨幅为 0.64%, 收至 389.18 点 12 月份沪深市场表现较好, 除沪指和中证 500 外, 其他主要指数皆收涨 12 月份官方制造业 PMI 为 51.6%, 虽比上月回落 0.2 个百分点, 但仍达到年均值水平, 制造业保持稳步增长的发展态势 ; 官方非制造业商务活动指数为 55.0%, 比上月上升 0.2 个百分点, 继续高于临界点, 非制造业扩张步伐有所加快 ; 月初, 证监会就修订 证券期货市场诚信监督管理办法 公开征求意见 ; 沪深 300 等核心指数 2017 年第二次定期调整于 12 月 11 日生效 ; 此外, 苹果期货合约于 22 日在郑州商品交易所挂牌交易 ; 月末, 证监会就 关于进一步规范证券公司在投资银行类业务中聘请第三方机构等相关行为的意见 ( 征求意见稿 ) 公开征求意见; 上证综指横盘震荡, 收至 3307.17 点, 全月下跌 0.30% 当月上海市场日均成交金额 1710.44 亿元, 环比下跌 26.12% 沪深 A 股规模指数中, 大盘指数表现相对较好 中证 100 涨幅最高, 涨幅达 0.65%; 跌幅最大的为中证 1000, 跌幅达 1.90%; 沪深 300 指数月内涨幅为 0.62% 创业板全月下跌 1%, 中小板指全月上涨 0.02% 12 月份主题及行业指数表现一般 300 消费指数涨幅达 11.89%, 涨幅居首, 中证白酒上涨 10.93%, 涨幅第二 ; 在跌幅方面, 有 200 多条主题行业指数呈现下跌态势, 其中上证证券下跌 9.03%, 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 12 月份沪深市场表现较好, 除沪指和中证 500 外, 其他主要指数皆收涨 12 月份官方制造业 PMI 为 51.6%, 虽比上月回落 0.2 个百分点, 但仍达到年均值水平, 制造业保持稳步增长的发展态势 ; 官方非制造业商务活动指数为 55.0%, 比上月上升 0.2 个百分点, 继续高于临界点, 非制造业扩张步伐有所加快 ; 月初, 证监会就修订 证券期货市场诚信监督管理办法 公开征求意见 ; 沪深 300 等核心指数 2017 年第二次定期调整于 12 月 11 日生效 ; 此外, 苹果期货合约于 22 日在郑州商品交易所挂牌交易 ; 月末, 证监会就 关于进一步规范证券公司在投资银行类业务中聘请第三方机构等相关行为的意见 ( 征求意见稿 ) 公开征求意见; 上证综指横盘震荡, 收至 3307.17 点, 全月下跌 0.30% 当月上海市场日均成交金额 1710.44 亿元, 环比下跌 26.12% 沪深 A 股规模指数中, 大盘指数表现相对较好 中证 100 涨幅最高, 涨幅达 0.65%; 跌幅最大的为中证 1000, 跌幅达 1.90%; 沪深 300 指数月内涨幅为 0.62% 上海市场中, 指数涨跌喜忧参半, 上证 380 涨幅达 1.04%, 居于首位, 其次为超大盘 (0.15%) 上证 50(-0.11%), 上证全指 (-0.11%), 上证综指 (-0.30%) 以及上证 180(-0.31%) 创业板全月下跌 1%, 中小板指全月上涨 0.02% 图 2: 全市场主要指数涨幅图 3: 上海市场主要指数涨幅 图 4: 深圳市场主要指数涨幅 图 5: 中证主要指数市值覆盖率 2 / 25

定期分析报告 沪深 300 指数分析 12 月份沪深 300 指数从上月末 4006.10 点上涨至 4030.85 点, 高点为 4086.93 点, 月内横盘震荡, 微涨 0.62% 12 月份沪深 300 指数日均成交 1305.30 亿元, 环比下跌 30.76% 12 月末沪深 300 指数滚动市盈率为 15.35 倍, 与上月末 15.15 倍水平略有上升 图 6: 沪深 300 指数走势 一级行业指数喜忧参半, 主要消费行业涨幅居首, 涨幅达到 11.89%, 其次是医药 可选消费 信息技术与工业, 分别为 4.90% 3.90% 0.71% 以及 0.30%, 其余指数皆成下 跌态势, 公用事业跌幅居首, 跌幅达到 3.82%, 其次为金融地产, 跌幅为 2.17% 图 7: 沪深 300 行业指数涨跌 图 8: 沪深 300 行业权重分布 沪深 300 指数中, 权重排名前三的行业分别为金融地产 工业 可选消费, 月末权 重分别为 38.55% 13.67% 11.78%, 累计权重 64% 能源 电信行业权重较低, 分别为 2.42% 和 2.31% 3 / 25

定期分析报告 12 月末沪深 300 指数滚动市盈率为 15.35 倍, 市净率为 1.99 倍 从行业来看, 主要消费市盈率最高, 滚动市盈率为 43.17, 与上月 39.00 倍水平有所上升 金融地产行业估值水平最低, 滚动市盈率为 9.34 倍, 市净率为 1.45 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 6.46% 2.99% 和 2.55% 美的集团权重位列第四, 为 2.15%, 兴业银行 格力电器 民生银行位列 5 6 7 位, 权重为 1.80% 1.79% 和 1.69%, 前 10 大权重股权重合计 23.84% 12 月份对沪深 300 影响最大的 10 只股票中, 贡献居前股票分别为贵州茅台 五粮液和伊利股份, 分别贡献 11.46 点 9.35 点和 7.37 点, 前 10 只股票合计贡献 35.95 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 12 月份主题及行业指数表现一般 300 消费指数涨幅达 11.89%, 涨幅居首, 中证白酒上涨 10.93%, 涨幅第二 ; 在跌幅方面, 有 200 多条主题行业指数呈现下跌态势, 其中上证证券下跌 9.03%, 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 12 月风格指数多数收涨,380 价值涨幅居首, 涨幅为 2.09%;180 价值跌幅居首, 跌幅为 0.81% 涨幅超过 1% 的指数还包括 500 价值 (1.41%) 300 成长 (1.31%) 800 成长 (1.26%) 380 成长 (1.22%) 以及全指成长 (1.20%) 基本面指数全线下跌, 其中上证基本面 200 指数跌幅居首, 跌幅达 0.73%; 跌幅超过 0.7% 的还包括上证基本面 500 指数和上证基本面 300 指数 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 12 月份红利系列指数多数上涨, 红利潜力涨幅居首, 达 5.66%; 涨幅超过 3% 的指数还包括上红潜力, 涨幅为 3.57%; 上证央企红利指数跌幅居首, 跌幅达到 1.04% 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 4.12% 4.01% 和 3.77% 中小板板块与创业板板块股息率分别为 1.98% 0.47% 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 12 月份波动率加权指数系列的波幅较上月有所下降, 沪深 300 中证 500 波动率加 权指数波幅分别为 8.40% 12.17% 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 12 月份高 低贝塔指数有涨有跌, 涨幅居首的为 380 低贝, 涨幅为 2.49%; 跌幅最 大的为 180 高贝, 跌幅为 2.94% 图 20: 高低贝塔指数系列贝塔值 图 21: 高低贝塔指数系列涨幅 7 / 25

定期分析报告 商品期货指数表现 12 月商品期货指数表现一般,4 条指数下跌 其中中证有色金属期货成份指数涨幅最大, 达到 4.79%, 跌幅最大的为中证粮油期货成份指数, 跌幅达 2.74% 其余指数涨幅分别为中证化工材料期货成份指数 (3.95%) 中证能源化工期货成份指数(0.95%) 中证工业品期货成份指数 (0.41%) 中证工业金属期货成份指数(0.10%) 中证贵金属期货成份指数 (-0.82%) 中证商品期货成份指数(-0.84%) 以及中证农产品期货成份指数 (-2.62%) 图 22: 中证商品期货成份指数系列市场表现 8 / 25

表 1: 成份指数市场数据 指数收益指数波动指数估值 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率静态市盈率市净率 股息率 沪深 300 4030.85 21.78% -0.59% 0.62% 5.07% 21.78% 14.07% 13.90% 9.93% 16.61 1.73 2.08% 300 金融 6466.09 17.72% -0.82% -2.17% 3.61% 17.72% -1.52% 16.51% 12.31% 10.35 1.22 2.65% 300 消费 15000.74 81.02% -0.50% 11.89% 24.99% 81.02% 140.45% 31.06% 20.56% 39.79 6.78 1.46% 300 能源 1940.14 11.41% 0.82% -0.01% 2.17% 11.41% -12.31% 11.75% 12.50% 34.96 1.27 3.63% 300 公用 1938.57 9.97% -2.25% -3.82% -1.03% 9.97% -11.81% 7.52% 8.99% 15.80 1.90 3.38% 300 可选 5955.59 28.43% -0.01% 3.90% 7.55% 28.43% 35.84% 17.12% 14.07% 18.16 2.91 2.29% 300 电信 3498.55 24.51% -3.79% -0.48% 1.19% 24.51% 42.16% 26.19% 21.01% 75.00 2.59 0.19% 300 工业 2618.78 4.86% 0.03% 0.30% 1.15% 4.86% -1.82% 11.79% 11.94% 22.27 1.97 1.19% 300 信息 2315.42 22.74% -2.40% 0.71% 4.66% 22.74% 44.69% 24.13% 17.98% 47.29 4.99 0.60% 300 医药 10074.12 26.37% -0.74% 4.90% 8.94% 26.37% 66.99% 15.21% 13.71% 41.58 5.28 0.74% 300 材料 2624.14 29.22% 2.00% -1.11% -0.68% 29.22% 20.68% 14.31% 16.82% 42.77 2.30 0.85% 中证 500 6250.82-0.20% 0.13% -0.20% -5.34% -0.20% 17.44% 14.21% 14.47% 34.06 2.48 0.85% 500 金地 5111.44-9.81% 0.33% -2.63% -10.13% -9.81% -0.34% 9.83% 13.74% 21.12 1.77 1.31% 500 消费 9134.76 12.86% -0.54% 5.59% 2.14% 12.86% 35.45% 16.28% 14.65% 38.33 3.23 1.09% 500 能源 4057.10-5.83% 0.19% -1.26% -9.24% -5.83% -9.19% 20.09% 22.60% 51.26 1.70 0.87% 500 公用 3183.92-18.15% -0.55% -0.08% -6.68% -18.15% -17.52% 10.63% 15.06% 20.90 1.44 1.84% 500 可选 4895.99-12.91% 0.33% -1.99% -9.29% -12.91% 14.12% 13.14% 12.53% 29.84 2.39 1.03% 500 电信 5769.11 26.00% -1.27% -1.71% 7.43% 26.00% 83.67% 22.04% 20.99% 61.14 4.05 0.29% 500 工业 5637.14-5.22% 0.04% -0.33% -8.76% -5.22% -1.01% 13.76% 15.59% 34.98 2.42 0.73% 500 信息 6804.30-2.84% -1.02% -1.38% -6.28% -2.84% 27.67% 21.60% 19.02% 43.83 3.38 0.62% 500 医药 12574.11 3.19% -0.51% 2.04% 5.50% 3.19% 31.09% 14.49% 13.34% 35.79 3.44 0.84% 500 原料 4861.75 16.90% 2.05% 0.40% -6.06% 16.90% 36.36% 18.03% 20.09% 39.87 2.32 0.60% 中证全指 4898.90 2.34% -0.34% -0.30% -2.07% 2.34% 16.12% 11.48% 11.07% 22.32 2.10 1.46% 全指金融 6085.09 14.39% -0.42% -2.18% 2.04% 14.39% -1.26% 14.58% 11.44% 10.87 1.26 2.52% 全指消费 11328.85 29.21% -0.77% 7.22% 10.62% 29.21% 70.21% 19.20% 15.03% 37.14 4.95 1.31% 全指能源 2070.31 1.27% 0.48% -0.36% -4.54% 1.27% -11.66% 13.87% 15.31% 35.36 1.34 3.15% 全指公用 2312.51-8.23% -1.40% -2.23% -6.47% -8.23% -17.15% 6.48% 9.64% 18.08 1.74 2.58% 全指可选 5682.29 0.41% 0.22% 1.25% -2.31% 0.41% 25.24% 12.07% 12.03% 23.90 2.75 1.53% 全指电信 6822.86 7.65% -2.62% -1.24% -1.57% 7.65% 57.77% 21.75% 17.79% 63.37 3.09 0.24% 9/25

全指工业 3730.31-7.63% 0.01% -1.18% -6.32% -7.63% 1.54% 11.67% 13.28% 29.39 2.32 0.89% 全指信息 5780.15-1.97% -1.98% -1.10% -4.87% -1.97% 31.72% 21.13% 17.90% 48.91 4.11 0.53% 全指医药 10098.17 5.10% -0.51% 2.28% 3.78% 5.10% 35.62% 12.83% 11.92% 41.32 4.27 0.68% 全指材料 3480.07 6.10% 1.56% -1.04% -6.59% 6.10% 24.15% 13.95% 16.97% 44.01 2.53 0.66% 上证 180 8647.03 19.69% -0.56% -0.31% 4.21% 19.69% 7.49% 13.41% 9.36% 14.56 1.49 2.41% 180 能源 1645.59 13.30% 1.11% 0.32% 4.13% 13.30% -15.34% 13.79% 12.68% 34.81 1.25 3.91% 180 材料 1989.58 31.51% 3.43% -0.71% 0.74% 31.51% 12.85% 17.19% 19.10% 43.14 2.28 0.86% 180 工业 2269.10 6.81% -0.08% -0.59% 1.34% 6.81% -3.31% 11.91% 12.41% 19.71 1.76 1.36% 180 可选 2662.37 13.42% 1.23% 2.64% 2.44% 13.42% 8.98% 14.53% 13.23% 15.62 2.24 3.08% 180 消费 10947.30 81.71% -0.12% 9.68% 22.52% 81.71% 148.42% 30.21% 19.96% 47.05 7.48 1.22% 180 医药 5643.81 34.59% -1.74% 5.12% 10.94% 34.59% 72.29% 19.23% 14.76% 39.00 4.38 0.82% 180 金地 5351.16 18.37% -1.14% -2.03% 3.67% 18.37% 0.19% 16.50% 12.19% 9.87 1.17 2.77% 180 信息 2605.16-1.96% -4.28% -3.41% -4.17% -1.96% 9.43% 27.22% 17.73% 24.93 4.14 0.97% 180 电信 2108.04-1.41% -4.01% -6.49% -8.76% -1.41% 12.86% 18.52% 20.05% 83.00 1.95 0.12% 180 公用 1767.84 6.51% -2.36% -4.08% -1.69% 6.51% -10.54% 7.58% 8.70% 16.61 2.01 3.59% 上证 380 5573.39 0.56% 0.04% 1.04% -3.04% 0.56% 14.52% 13.93% 13.70% 29.52 2.57 1.17% 380 能源 1600.41-3.51% 1.19% 5.26% -1.78% -3.51% -4.42% 20.86% 19.89% 32.97 1.60 0.65% 380 材料 4398.25 13.43% 0.51% 0.40% -4.82% 13.43% 20.93% 17.21% 17.77% 38.03 2.66 0.79% 380 工业 5742.77-6.02% 0.28% -0.53% -6.89% -6.02% -2.37% 15.05% 16.17% 27.29 2.25 1.20% 380 可选 5799.04-3.04% 1.04% 1.09% -4.54% -3.04% 30.43% 11.00% 11.15% 28.28 2.71 1.27% 380 消费 8808.29 20.15% -1.17% 6.04% 6.73% 20.15% 41.63% 18.38% 16.43% 41.93 4.71 1.03% 380 医药 10721.18 1.78% 0.02% 2.77% 5.23% 1.78% 34.78% 15.35% 12.98% 32.98 3.54 1.16% 380 金融 4470.84-15.87% 1.08% -0.50% -7.91% -15.87% -9.60% 10.08% 13.08% 15.97 1.56 1.78% 380 信息 5911.80 1.24% -0.28% 1.54% 0.30% 1.24% 30.46% 24.26% 19.94% 46.91 4.38 0.82% 380 电信 8071.97 37.39% -5.95% -3.44% 0.71% 37.39% 155.34% 32.47% 28.22% 40.79 4.03 0.60% 380 公用 2092.52-9.65% -1.69% 0.58% -5.02% -9.65% -18.04% 11.77% 13.62% 17.94 1.67 2.41% 中证超大 3358.65 20.00% -0.41% -0.58% 4.37% 20.00% 13.55% 13.08% 9.77% 13.21 1.42 2.75% 中证 100 4081.25 30.21% -0.91% 0.65% 8.27% 30.21% 18.62% 16.27% 10.66% 14.55 1.54 2.46% 中证 200 4371.44 7.15% 0.08% 0.55% -0.97% 7.15% 6.41% 12.29% 11.79% 27.02 2.59 1.09% 中证 700 5214.57 3.18% 0.10% 0.16% -3.30% 3.18% 11.93% 12.96% 12.96% 30.12 2.53 0.97% 中证 800 4406.62 15.16% -0.40% 0.40% 2.12% 15.16% 14.77% 12.63% 10.11% 18.63 1.85 1.82% 300 沪市 3651.11 20.14% -0.65% -0.30% 4.42% 20.14% 8.96% 13.20% 9.35% 14.68 1.49 2.38% 10/25

500 沪市 6393.19 1.23% 0.45% 0.64% -4.43% 1.23% 12.48% 14.07% 14.42% 31.80 2.30 1.02% 超大盘 2481.90 17.25% 0.10% 0.15% 4.93% 17.25% 15.29% 11.78% 9.78% 15.09 1.46 2.43% 上证 50 2860.44 25.08% -0.71% -0.11% 7.04% 25.08% 10.80% 15.79% 10.94% 13.00 1.33 2.75% 上证中盘 3612.65 11.13% -0.31% -0.66% -0.41% 11.13% 1.99% 10.90% 9.46% 20.25 2.03 1.63% 上证小盘 4685.79 0.50% -0.02% 0.55% -4.44% 0.50% 11.67% 14.15% 14.34% 32.14 2.35 1.03% 上证中小 4108.69 5.79% -0.17% -0.11% -2.38% 5.79% 6.62% 11.54% 11.15% 24.27 2.16 1.36% 上证全指 3394.37 14.35% -0.43% -0.11% 1.93% 14.35% 8.86% 11.94% 9.15% 16.31 1.61 2.13% 上证 100 6201.17 2.04% -0.51% 0.81% -0.54% 2.04% 16.16% 13.26% 13.11% 25.82 2.98 1.33% 上证 150 5212.85-20.96% 0.84% -1.86% -10.58% -20.96% 14.03% 15.12% 16.86% 53.64 2.95 0.37% 市值百强 2853.33 22.18% -0.55% -0.34% 5.49% 22.18% 8.96% 14.36% 9.92% 13.75 1.40 2.56% 上证能源 1663.59 6.45% 0.66% -0.03% -1.58% 6.45% -13.02% 12.87% 14.30% 35.07 1.29 3.36% 上证材料 2276.60 27.32% 2.47% 0.10% -1.58% 27.32% 16.53% 15.61% 17.67% 44.01 2.33 0.78% 上证工业 2420.16 5.52% -0.10% -0.29% 1.26% 5.52% -0.79% 11.59% 12.16% 20.14 1.79 1.34% 上证可选 2933.95 7.49% 1.24% 2.26% 0.16% 7.49% 14.40% 11.35% 10.57% 19.40 2.44 2.27% 上证消费 9102.78 43.81% -0.82% 7.97% 11.42% 43.81% 80.44% 20.92% 16.20% 46.89 6.41 1.16% 上证医药 7038.77 18.22% -0.59% 4.26% 8.63% 18.22% 52.78% 15.41% 12.30% 37.65 4.04 0.90% 上证金融 5274.13 23.42% -0.91% -1.67% 5.17% 23.42% 2.76% 16.97% 12.91% 9.48 1.13 2.88% 上证信息 3559.26-4.86% -1.86% -1.54% -3.91% -4.86% 11.20% 22.71% 17.66% 36.94 4.19 0.76% 上证电信 3449.33 12.15% -4.14% -4.34% -3.91% 12.15% 61.58% 21.57% 18.45% 66.50 2.37 0.25% 上证公用 2087.28-3.05% -1.91% -2.46% -4.26% -3.05% -18.11% 6.34% 8.44% 16.86 1.83 3.09% 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 工业指数 2639.07 6.14% 0.47% 0.26% -0.81% 6.14% 9.10% 10.51% 10.55% 32.43 2.36 1.55% B 股指数 341.81 0.00% 1.21% 0.13% -5.48% 0.00% 17.56% 10.13% 10.80% 19.84 1.29 0.25% 地产指数 7257.94 10.56% 1.51% -0.15% 5.71% 10.56% 16.41% 14.82% 15.48% 12.69 1.64 2.29% 上证指数 3307.17 6.56% 0.31% -0.30% -1.25% 6.56% 2.24% 9.72% 8.50% 17.97 1.73 1.87% A 股指数 3463.48 6.58% 0.30% -0.30% -1.23% 6.58% 2.19% 9.73% 8.50% 17.96 1.74 1.87% 11/25

新综指 2792.64 6.59% 0.30% -0.30% -1.23% 6.59% 2.17% 9.74% 8.50% 17.96 1.74 1.87% 中证流通 5184.63 1.78% -0.29% -0.36% -2.39% 1.78% 17.74% 11.61% 11.28% 22.48 2.13 1.43% 上证流通 1218.08 6.68% -0.25% -0.44% -0.55% 6.68% 8.63% 10.93% 9.55% 17.96 1.74 1.87% 综合指数 3070.03 14.10% 0.19% -0.44% 0.07% 14.10% -0.05% 12.01% 9.52% 10.96 1.26 2.46% 公用指数 5957.33-0.37% -0.30% -1.22% -2.98% -0.37% -3.27% 10.69% 10.44% 21.45 1.68 1.50% 中型综指 1258.46-19.91% -0.13% -1.35% -9.18% -19.91% 6.15% 13.50% 15.39% 43.88 3.33 0.65% 商业指数 3200.69-22.43% 0.00% -3.31% -13.67% -22.43% -14.69% 15.08% 15.69% 20.63 1.96 1.24% 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 中证白酒 17 16,783 7,287 5993.47 77.29% 0.01% 10.93% 16.35% 77.29% -- 46.40 7.55 食品饮料 50 24,259 11,296 14375 54.24% -0.45% 10.81% 15.97% 54.24% 99.43% 43.56 6.58 细分食品 50 23,570 11,281 14309.36 55.62% -0.47% 10.64% 16.26% 55.62% 105.45% 44.71 6.56 中证酒 29 17,935 7,846 3469.68 45.42% 0.18% 10.22% 10.62% 45.42% 76.34% 46.92 6.58 CS 食品饮 85 26,110 12,296 12234.48 37.46% -0.49% 8.86% 10.78% 37.46% -- 43.57 6.18 内地消费 50 48,553 23,548 8559.42 49.79% -0.22% 7.08% 14.56% 49.79% 72.82% 23.67 3.86 轻工产业 74 38,149 20,279 4807.2 51.09% -0.96% 6.54% 13.40% 51.09% 94.05% 29.58 4.74 城镇消费 100 73,708 33,688 1951.44 38.95% -0.41% 6.27% 11.84% 38.95% 63.58% 27.32 4.11 内地农业 32 9,398 5,827 5534.88 20.46% -0.98% 5.72% 6.38% 20.46% 36.02% 31.34 3.57 优势消费 50 26,071 13,075 6910.98 23.85% -0.96% 5.59% 9.02% 23.85% 53.66% 41.51 5.44 黄金采掘 9 2,333 1,182 1196.54-13.07% 4.77% 5.58% -5.35% -13.07% -- 53.06 3.11 消费 80 80 42,907 18,989 4844.8 31.13% -0.32% 5.32% 9.08% 31.13% 53.28% 27.59 3.68 消费 50 50 32,031 13,575 7733.65 26.51% 0.52% 4.81% 6.64% 26.51% 43.04% 25.17 3.38 沪城消费 50 34,707 16,095 1871.14 32.99% -0.40% 4.77% 9.04% 32.99% 46.06% 26.81 3.55 沪消费品 50 24,121 11,380 8478.45 25.63% -0.67% 4.66% 9.76% 25.63% 60.86% 43.29 5.03 中证下游 200 101,096 46,285 5730.8 23.69% -0.56% 4.22% 7.69% 23.69% 41.94% 28.91 3.43 300 消服 18 14,767 8,465 8361.21 51.53% -1.94% 4.16% 13.71% 51.53% 80.84% 20.35 3.31 细分医药 50 19,677 9,364 10157.33 21.88% -1.07% 4.01% 9.21% 21.88% 54.53% 40.17 4.70 180 运输 10 8,746 3,040 1239.73 34.68% 1.34% 3.70% 12.55% 34.68% 20.33% 24.06 1.99 上证下游 176 64,355 28,079 4199.97 18.05% -0.16% 3.51% 5.49% 18.05% 35.31% 28.04 2.89 消费服务 100 143,188 53,742 7908.33 25.55% -0.94% 3.45% 7.58% 25.55% 37.15% 13.39 1.60 12/25

泛珠三角 47 59,373 35,545 9271.05 54.86% -0.39% 3.42% 16.85% 54.86% 60.82% 19.99 2.64 医药生物 100 26,580 12,747 10269.37 13.10% -0.68% 3.37% 7.11% 13.10% 45.45% 42.04 4.59 CS 轻资产 100 96,512 47,788 5872.15 33.68% -1.82% 3.15% 8.85% 33.68% -- 33.04 3.53 农业主题 40 8,197 4,670 1260.37 2.73% -0.30% 3.02% -0.43% 2.73% 23.72% 35.57 4.22 中证医疗 46 4,791 2,476 6943.15-13.52% 0.91% 2.98% -0.34% -13.52% 9.64% 56.85 5.34 西部开发 43 23,766 10,827 7305.19 20.24% 0.19% 2.97% 4.50% 20.24% 23.41% 29.68 3.32 钱江 30 30 14,526 6,036 1399.97 30.03% -1.42% 2.96% 9.11% 30.03% 44.59% 28.95 4.27 医药主题 50 12,890 6,541 10233.21-0.31% 1.15% 2.84% 3.89% -0.31% 28.96% 36.11 4.00 180 资源 17 30,669 5,068 2959.2 27.83% 4.11% 2.81% 0.06% 27.83% 4.49% 41.77 1.43 300 非周 177 127,637 58,870 4452.52 24.12% -0.90% 2.74% 6.41% 24.12% 31.95% 26.00 3.02 汽车产业 29 12,107 4,951 4700.56 12.07% 2.65% 2.70% -1.05% 12.07% 27.07% 15.44 2.12 健康产业 100 32,570 17,045 2016.58 3.30% -0.73% 2.59% 0.21% 3.30% 33.46% 34.82 4.62 上证汽车 50 12,278 4,418 5799.34 7.38% 2.01% 2.57% -2.45% 7.38% -- 17.08 2.24 300 有色 16 8,270 3,898 4150.35 27.44% 4.63% 2.47% -4.48% 27.44% 16.58% 89.38 3.23 环保 50 50 18,244 8,774 2037.9 17.50% -1.47% 2.37% 1.78% 17.50% -- 28.47 3.14 非周民企 100 52,711 26,467 1565.99 23.28% -1.26% 2.34% 4.35% 23.28% -- 34.48 4.43 沪珠三角 45 43,194 24,639 6282.76 43.63% 0.27% 2.31% 14.21% 43.63% 39.12% 18.53 2.24 内地运输 34 15,747 5,120 1859.79 15.85% 0.77% 2.27% 3.99% 15.85% 9.37% 27.59 2.25 上证健康 50 14,204 8,302 1413.04-0.60% -0.25% 2.25% -1.18% -0.60% 17.52% 38.56 4.34 资源 50 50 39,352 8,798 2843.03 21.64% 3.06% 2.14% -3.04% 21.64% 13.27% 40.41 1.57 沪西部 36 18,123 9,090 5968.99 15.64% 0.44% 2.05% 2.42% 15.64% 13.85% 36.15 3.90 细分有色 50 13,406 6,482 5731.95 19.51% 5.20% 1.98% -8.79% 19.51% 13.23% 85.45 3.27 上证资源 50 37,503 7,752 2252.55 17.19% 3.44% 1.94% -4.57% 17.19% 3.02% 41.53 1.51 细分农业 50 8,091 3,861 5037.82-11.46% -1.60% 1.91% 0.49% -11.46% 8.12% 23.42 3.38 沪大农业 50 7,295 3,106 1374.8-4.39% -0.59% 1.85% -3.16% -4.39% 16.23% 40.96 3.17 新能源 50 15,944 8,359 1732.2 14.80% -0.33% 1.77% -5.23% 14.80% 22.14% 35.46 3.31 优势资源 44 29,742 6,598 4196.56 22.15% 4.20% 1.75% -5.88% 22.15% 17.63% 65.79 1.63 细分机械 50 17,832 8,785 4581.62 8.37% 0.60% 1.75% 1.65% 8.37% -1.40% 36.36 2.58 上证上游 53 37,636 7,880 2554.85 16.88% 3.16% 1.68% -3.81% 16.88% 4.95% 41.72 1.51 有色产业 36 11,536 5,725 2278.55 23.10% 4.72% 1.65% -7.73% 23.10% 16.29% 88.38 3.23 沪投资品 50 24,776 9,558 4870.52 18.98% 2.71% 1.63% -1.55% 18.98% 8.66% 38.05 2.21 民企 200 200 85,964 42,168 1824.61 13.72% -0.98% 1.58% 2.93% 13.72% 26.72% 29.49 3.51 上证商品 50 38,913 8,489 2026.58 19.67% 2.79% 1.58% -4.67% 19.67% 12.08% 41.23 1.56 有色金属 50 14,249 7,128 5209.4 22.56% 4.50% 1.57% -9.25% 22.56% 17.78% 85.87 3.33 消费领先 100 117,101 45,645 7781.99 18.01% -1.04% 1.55% 3.54% 18.01% 28.44% 12.49 1.48 13/25

资源 80 80 48,403 13,639 3504.27 19.12% 2.16% 1.54% -3.61% 19.12% 19.09% 41.26 1.71 中证上游 50 39,589 9,140 2881.19 20.23% 3.22% 1.54% -4.41% 20.23% 2.92% 43.42 1.56 医药 100 100 26,627 13,103 13573.69 1.56% -0.31% 1.49% 3.20% 1.56% 35.44% 41.46 4.52 内地资源 50 38,747 9,030 3024.04 22.16% 3.49% 1.48% -5.29% 22.16% 5.48% 45.25 1.55 领先行业 150 105,605 48,424 9385.94 10.61% -0.11% 1.45% -0.85% 10.61% 36.26% 14.00 1.94 中证汽车 100 18,930 7,891 5787.13 0.17% 2.19% 1.41% -4.96% 0.17% -- 18.97 2.30 中证城镇 250 132,403 62,333 2151.49 19.74% -0.20% 1.41% 2.89% 19.74% 41.39% 24.44 3.06 上证养老 40 32,108 17,955 9791.3 4.81% 0.17% 1.38% 2.49% 4.81% 22.42% 32.01 3.30 细分地产 50 18,005 8,437 6942.31 9.96% 2.96% 1.37% 6.12% 9.96% 24.87% 15.89 2.01 上证民企 50 25,473 14,023 1818.25 19.52% -1.05% 1.26% 4.01% 19.52% 26.39% 21.14 2.57 装备产业 87 23,000 11,594 2021.84 1.27% 0.38% 1.21% -1.96% 1.27% -5.80% 40.89 2.63 非周期 100 70,234 31,082 2914.43 17.65% -0.87% 1.19% 4.07% 17.65% 20.32% 22.85 2.46 A 股资源 50 39,963 9,202 4715.83 13.99% 3.67% 1.18% -7.00% 13.99% 6.11% 42.21 1.56 内地地产 47 17,275 8,074 7292.38 9.55% 3.00% 1.11% 5.36% 9.55% 26.45% 15.36 1.98 地企 100 100 79,895 37,911 1251.25 19.92% 0.12% 1.09% 2.74% 19.92% 13.38% 17.24 1.86 ESG 100 100 160,626 60,673 1274.59 25.50% 0.00% 1.08% 4.06% 25.50% 25.56% 12.29 1.48 国企改革 100 78,141 28,268 1622.69 15.47% -0.19% 0.99% 3.85% 15.47% 14.41% 20.09 1.79 CS 广东 42 11,459 5,046 1817.26 3.29% 2.12% 0.97% -0.64% 3.29% -- 20.77 2.20 中证传媒 50 13,225 6,219 1725.7-17.72% -0.35% 0.94% -6.08% -17.72% -5.69% 34.20 3.55 上证城镇 242 82,449 37,502 2098.94 12.28% -0.26% 0.93% 0.23% 12.28% 19.37% 22.72 2.52 细分化工 50 12,472 5,888 3532.48 5.76% -0.32% 0.92% -3.10% 5.76% 32.90% 34.20 2.78 大消费 360 114,736 56,536 8292.21-4.46% -0.21% 0.92% -3.17% -4.46% 25.51% 29.51 3.55 沪绿色城 50 14,903 6,172 2042.79 16.08% -0.18% 0.84% -4.75% 16.08% 32.35% 20.85 2.58 中证新能 80 20,467 10,704 1844.83 8.15% -0.48% 0.84% -6.10% 8.15% -- 35.86 3.05 电子产业 138 47,549 26,256 3863.78 23.81% -2.11% 0.83% 4.34% 23.81% 52.94% 34.44 3.92 中证中药 42 8,118 4,177 11100.24-1.50% 0.49% 0.82% -0.77% -1.50% -- 31.05 3.56 ESG 40 40 92,901 29,955 1555.94 21.16% 1.10% 0.76% 4.65% 21.16% 16.00% 10.64 1.24 中小国改 94 14,113 6,270 1646.09 1.97% 0.49% 0.76% -3.68% 1.97% -- 29.94 2.15 新材料 50 15,059 8,158 3556.11 32.16% 0.94% 0.75% -6.31% 32.16% -- 52.94 3.57 300 信服 46 27,814 14,173 2363.43 15.72% -2.13% 0.69% 2.51% 15.72% 25.65% 46.42 4.18 CS 稀金属 17 4,458 2,019 1555.78 39.72% 6.13% 0.65% -13.42% 39.72% -- 118.30 4.80 石化产业 60 37,932 8,563 1298.6 14.73% 0.46% 0.48% -0.72% 14.73% 21.73% 35.02 1.49 纺织产业 22 3,939 1,652 1924.7-4.30% -0.21% 0.47% -5.15% -4.30% 17.65% 26.21 2.34 环渤海 48 79,094 15,548 2740.77 18.60% 0.02% 0.43% 4.27% 18.60% 9.53% 13.78 1.35 内地低碳 50 20,244 9,894 1446.16 19.79% -1.39% 0.39% -1.64% 19.79% 26.82% 27.75 3.04 14/25

中证地企 696 131,803 62,955 1401.63 5.86% 0.30% 0.32% -2.00% 5.86% 11.24% 20.65 1.93 CS 能源互 45 9,034 5,348 1751.27 3.11% -1.13% 0.28% -5.40% 3.11% -- 31.76 3.20 中证文化 50 14,773 6,841 2169.2-9.63% -0.57% 0.28% -3.00% -9.63% -1.13% 37.40 3.91 国企 200 200 225,942 77,662 1179.03 18.84% 0.11% 0.26% 3.17% 18.84% 8.31% 14.99 1.51 沪东北 31 8,594 5,244 4089.96 8.03% -0.30% 0.26% -1.51% 8.03% 2.98% 29.55 2.79 中证旅游 21 3,337 1,486 3996.43-2.50% 1.76% 0.23% -5.14% -2.50% -- 25.87 2.81 精工制造 200 67,278 29,517 3157.26 2.98% -0.42% 0.21% -1.57% 2.98% 1.87% 25.99 2.23 持续产业 40 13,547 6,006 1194.28 11.80% -2.10% 0.20% -1.12% 11.80% 10.71% 23.83 2.47 文体休闲 50 15,220 7,042 1200.48-9.99% -0.24% 0.15% -2.35% -9.99% -0.44% 33.09 3.59 混合改革 73 53,791 14,862 1878.18 10.63% 0.34% 0.14% 1.89% 10.63% -- 27.82 1.78 CS 福建 25 8,602 4,875 1946.78 0.78% 1.16% 0.13% -8.16% 0.78% -- 12.57 1.39 上证龙头 71 135,586 42,062 3523.3 15.82% -0.66% 0.10% 2.62% 15.82% 25.52% 14.96 1.52 上证高新 50 10,019 5,559 1559.29-2.09% -1.96% 0.08% -4.35% -2.09% 3.45% 46.73 4.04 保险主题 20 46,519 18,796 2470.38 51.46% -3.36% 0.08% 14.94% 51.46% -- 23.14 1.70 城镇交通 100 37,963 17,267 2352.76 11.27% 0.27% 0.05% -3.41% 11.27% 28.51% 21.55 2.68 大宗商品 98 49,136 14,317 4674.49 10.18% 1.93% 0.03% -7.36% 10.18% 26.84% 40.47 1.69 浙企综指 380 44,491 19,439 7257.9-4.60% -0.58% 0.02% -3.28% -4.60% 37.81% 33.34 3.23 中证保险 20 28,136 15,273 2357.92 47.79% -3.63% 0.01% 13.00% 47.79% -- 20.65 2.17 兴证海西 207 23,817 12,239 1514.61-3.60% 0.29% 0.00% -4.43% -3.60% 17.24% 21.55 2.16 沪股通 574 275,747 104,825 3149.49 14.06% -0.41% -0.03% 2.15% 14.06% 9.56% 16.30 1.63 上证地企 50 49,306 23,683 1170.97 13.18% 0.39% -0.04% 0.92% 13.18% 5.35% 14.81 1.64 中证中游 250 84,689 41,448 3534.19 13.50% -0.58% -0.07% 0.34% 13.50% 19.66% 28.92 2.37 优势制造 50 14,893 6,880 6711.86-3.27% -0.21% -0.11% -4.08% -3.27% -11.72% 40.11 2.56 中证新兴 100 71,162 34,333 8497 10.77% -0.64% -0.13% -1.45% 10.77% 22.43% 27.63 3.03 中证安全 100 16,060 8,104 2830.67 4.84% -1.43% -0.15% -1.55% 4.84% 44.54% 39.49 4.27 中证国企 1029 302,005 114,015 1325.03 7.77% 0.24% -0.17% -1.00% 7.77% 8.16% 17.17 1.63 上国改革 50 56,854 17,779 1687.42 14.79% -0.16% -0.18% 3.54% 14.79% 21.95% 18.45 1.62 CS 智消费 100 32,075 17,405 2672.77 14.17% -1.57% -0.19% 1.81% 14.17% -- 23.36 3.48 浙江民企 325 32,602 14,602 8243.87-9.69% -0.44% -0.26% -5.19% -9.69% 35.20% 36.97 3.46 沪中部 39 10,712 5,117 3732.45 18.19% -0.63% -0.26% -2.20% 18.19% 11.65% 24.82 2.08 沪环渤海 45 76,439 13,661 2464.5 14.38% -0.01% -0.28% 2.59% 14.38% 2.62% 13.46 1.32 物流产业 26 10,704 3,003 1450.7 2.94% 0.15% -0.30% -5.26% 2.94% -7.91% 28.97 2.38 细分能源 50 31,609 5,020 2208.92 1.41% 0.49% -0.32% -3.95% 1.41% -11.36% 35.34 1.33 稀土产业 31 6,147 3,388 1620.46 7.55% 1.85% -0.32% -9.21% 7.55% -- 81.73 3.04 责任指数 100 81,403 38,238 1503.6 23.76% -1.42% -0.33% 6.99% 23.76% 18.51% 13.99 1.56 15/25

中证环保 100 25,317 12,660 1739.44-1.04% -1.00% -0.34% -5.72% -1.04% 14.31% 29.48 2.94 中证高装 200 49,039 24,870 5160.47 6.04% -1.21% -0.38% -2.62% 6.04% -- 42.81 3.21 治理指数 298 175,727 63,235 1108.18 14.99% -0.47% -0.41% 3.01% 14.99% 4.87% 14.97 1.44 180 治理 100 148,504 50,698 1019.76 20.51% -0.58% -0.45% 5.64% 20.51% 4.48% 13.96 1.39 300 公运 33 23,203 7,660 1616.91 12.00% -0.33% -0.47% 2.07% 12.00% -1.32% 20.86 2.10 上证环保 40 12,685 5,527 1556.68-2.06% -0.17% -0.48% -6.74% -2.06% -0.08% 24.50 2.78 中证民企 2257 230,637 111,370 2221.17-6.87% -0.41% -0.48% -5.28% -6.87% 34.33% 37.51 3.42 沪智家居 49 8,014 4,081 2778.29-9.07% -0.50% -0.48% -6.00% -9.07% 20.25% 26.68 3.22 智慧城镇 100 28,006 14,668 2321.2 5.71% -1.67% -0.50% -0.63% 5.71% 16.63% 30.51 3.69 资源优选 200 71,945 23,929 2633.2 13.19% 1.68% -0.51% -4.52% 13.19% 10.05% 38.69 1.80 央企 100 100 146,046 39,750 1854.17 17.84% 0.09% -0.51% 3.55% 17.84% 3.95% 14.00 1.36 智能交通 50 13,462 6,997 2668.57 14.07% -1.85% -0.54% -0.48% 14.07% 42.76% 27.50 4.13 绿色城镇 100 29,202 14,104 1975.28 11.84% 0.06% -0.56% -6.73% 11.84% 33.26% 25.34 2.95 中证文体 100 18,988 8,858 2122.86-15.90% -0.55% -0.56% -6.07% -15.90% -- 36.36 3.59 信息产业 100 41,186 20,892 5494.5 11.01% -2.05% -0.56% 0.40% 11.01% 26.28% 37.20 3.83 上证新兴 50 35,996 15,737 7297.13 10.23% -0.73% -0.57% -2.04% 10.23% 18.06% 25.00 2.35 上证国企 100 170,246 52,504 1081.52 15.61% 0.21% -0.57% 2.24% 15.61% 1.40% 13.48 1.34 技术领先 200 63,672 31,308 6785.84 0.25% -0.72% -0.58% -3.08% 0.25% 18.04% 33.06 3.43 上证海外 47 121,519 35,717 1380.16 29.58% -0.71% -0.64% 7.10% 29.58% 6.56% 12.85 1.26 一带一路 83 49,819 14,714 1739.95 3.63% 0.18% -0.68% -0.91% 3.63% -- 25.87 1.48 互联网 150 62,286 35,252 2969.46 10.68% -1.77% -0.70% 1.67% 10.68% 44.91% 22.57 2.40 CS 计算机 100 17,506 9,551 7126.09-3.08% -1.93% -0.75% -3.04% -3.08% -- 48.37 3.98 中小医疗 86 6,242 3,354 11926.72-17.29% 0.25% -0.76% -3.89% -17.29% -- 45.57 3.60 中证央企 333 170,203 51,060 2023.6 10.17% 0.16% -0.78% 0.20% 10.17% 4.55% 15.21 1.46 TMT 150 150 44,819 23,078 1921.29 4.47% -1.83% -0.81% -2.21% 4.47% 28.97% 38.22 3.49 中证基建 70 16,691 6,514 9162.72-2.68% 1.62% -0.81% -3.82% -2.68% -- 21.46 1.70 CS 电子 100 26,093 13,356 6247.74 19.98% -2.09% -0.83% 0.85% 19.98% -- 35.53 4.06 CS 休闲娱 100 17,545 7,504 4802.2-17.96% 0.14% -0.84% -8.04% -17.96% -- 31.32 3.19 中证服务 300 202,712 78,788 4372.37 3.64% -0.24% -0.92% -0.29% 3.64% 2.39% 13.49 1.50 CS 西部 33 4,364 2,353 1491.16-2.99% 1.21% -0.99% -10.48% -2.99% -- 33.51 2.19 上证央企 50 120,940 28,821 1658.59 17.59% 0.05% -1.01% 3.25% 17.59% -1.57% 13.01 1.25 长三角 51 42,664 19,024 4602.6 14.46% -1.02% -1.01% 1.78% 14.46% 13.63% 17.47 1.87 移动互联 100 33,898 18,102 2515.77 4.00% -2.38% -1.05% -2.01% 4.00% 19.88% 42.54 4.17 上证中游 177 52,235 23,837 3022.7 6.60% -0.49% -1.11% -1.61% 6.60% 6.04% 24.71 2.05 沪城交通 50 20,643 8,029 2165.44 0.38% 0.33% -1.13% -4.22% 0.38% 17.56% 18.41 2.06 16/25

中证核电 50 8,910 3,752 2863.43-7.29% -0.11% -1.14% -8.78% -7.29% -- 26.57 1.86 中证体育 19 2,130 870 1739.65-30.64% 0.21% -1.15% -13.38% -30.64% -- 38.93 4.17 中证 TMT 100 38,016 19,651 1998.97-6.68% -0.98% -1.17% -6.97% -6.68% 20.19% 37.97 3.51 城镇基建 100 34,703 15,739 1861.88 5.40% 1.14% -1.19% 1.26% 5.40% 11.14% 16.05 1.71 东北振兴 38 9,418 5,389 4362.32 1.44% -0.49% -1.26% -3.53% 1.44% -8.43% 24.87 2.29 上证周期 50 125,702 40,611 3373.38 22.85% -0.61% -1.30% 5.37% 22.85% 0.58% 11.96 1.21 CS 上海 47 12,606 5,768 2514.84-11.74% -0.08% -1.33% -5.74% -11.74% -- 22.52 2.01 内地银行 24 68,583 19,924 6333.08 14.37% 0.31% -1.41% 2.52% 14.37% 8.67% 7.60 0.94 CS 新能车 51 10,550 5,973 2250.99 4.30% 1.07% -1.43% -14.48% 4.30% 46.02% 38.61 4.10 信息安全 100 14,494 8,633 1619.81-5.14% -1.46% -1.44% -4.68% -5.14% -- 48.15 3.86 300 周期 123 168,892 58,482 3921.59 19.47% -0.26% -1.45% 3.75% 19.47% 0.07% 13.09 1.31 上证银行 21 65,158 18,247 869.8 12.17% 0.45% -1.46% 1.28% 12.17% 6.72% 7.48 0.93 中证软件 100 15,824 8,401 7305.43-16.79% -1.76% -1.49% -8.49% -16.79% -- 47.46 3.98 智能资产 180 24,291 13,696 9845.66-10.99% -0.29% -1.49% -8.48% -10.99% 41.67% 31.68 3.72 中证高新 100 13,513 7,978 1636.12-9.79% -1.82% -1.58% -7.25% -9.79% 33.92% 62.77 4.53 上证基建 43 13,978 5,053 9635.36-1.57% 0.99% -1.59% -2.48% -1.57% -- 19.58 1.65 智能家居 100 37,690 21,111 2796.18-3.21% -1.22% -1.60% -6.12% -3.21% 28.88% 31.85 3.92 中部崛起 45 17,376 6,816 3691.4 18.58% -1.29% -1.60% -0.62% 18.58% 11.37% 27.96 2.63 上证移动 50 12,747 6,777 2160.82-1.97% -1.73% -1.62% -3.44% -1.97% 2.95% 26.22 2.68 煤炭指数 30 9,522 2,633 2908.69 16.16% 1.65% -1.63% -6.10% 16.16% 14.39% 28.19 1.58 中证煤炭 30 9,302 2,559 1766.99 12.00% 1.81% -1.72% -8.18% 12.00% -- 28.12 1.55 中证国防 34 5,922 2,882 1288.48-20.18% -2.29% -1.75% -11.31% -20.18% -13.21% 68.32 3.21 沪城基建 50 22,190 9,522 1780.44-0.81% 0.76% -1.79% -0.78% -0.81% -2.88% 14.32 1.51 中证海洋 88 15,341 6,381 1372.78-15.68% -1.01% -1.81% -9.78% -15.68% -- 41.00 2.34 机器人 44 6,135 2,907 1364.87-5.75% -1.91% -1.84% -6.29% -5.75% -- 48.21 3.80 沪新丝路 52 44,403 11,294 1617.1 1.26% -0.12% -1.85% -1.64% 1.26% -43.82% 25.60 1.42 沪长三角 49 34,930 15,662 3422.45 9.37% -0.99% -1.86% 0.47% 9.37% 6.14% 15.35 1.57 中证军工 60 9,477 4,754 8744.92-18.37% -1.52% -1.93% -10.31% -18.37% -9.93% 73.58 2.96 CS 土改农 28 3,431 1,664 1005.14-16.12% -0.33% -2.00% -9.89% -16.12% -- 36.37 2.25 沪智慧城 50 10,653 5,607 2076.3-5.54% -1.44% -2.03% -5.10% -5.54% -2.26% 26.31 2.82 上证沪企 50 36,780 15,514 2386.86 5.08% -0.72% -2.14% -1.31% 5.08% -2.21% 15.14 1.51 上证 TMT 50 13,752 6,691 1928.42-20.88% -0.54% -2.22% -10.92% -20.88% 12.44% 35.98 2.89 军工信息 150 22,462 12,474 2314.12-17.71% -1.35% -2.26% -10.78% -17.71% -- 55.11 3.38 CS 汽车 AM 68 20,181 12,911 2295.54 4.25% -0.26% -2.31% -4.16% 4.25% -- 21.49 2.56 军工指数 48 8,323 4,331 1169.66-18.25% -1.53% -2.34% -10.85% -18.25% -12.04% 74.34 2.87 17/25

高端装备 60 14,902 6,843 7913.55-11.22% -0.46% -2.34% -7.85% -11.22% -5.52% 40.53 2.56 CS 京津冀 48 10,004 4,650 2211.05 2.01% -0.14% -2.38% -10.11% 2.01% -- 23.02 2.02 船舶产业 3 1,800 878 1666.52-14.86% 1.17% -2.40% -2.72% -14.86% -35.23% 99.46 1.89 180 金融 45 96,284 35,560 5415.15 19.56% -1.25% -2.52% 2.96% 19.56% -1.10% 9.68 1.14 CS 智慧农 37 4,075 2,411 1278.05-16.50% -0.65% -2.53% -8.26% -16.50% -- 29.19 2.32 上证军工 22 4,939 2,409 7103.75-18.17% -1.28% -2.56% -9.80% -18.17% -20.52% 78.79 2.55 高铁产业 26 8,115 3,168 1993.62-11.27% 0.62% -2.61% -4.67% -11.27% -- 21.30 1.87 细分金融 50 104,484 38,488 6424.25 17.65% -1.24% -2.62% 2.91% 17.65% -4.60% 9.99 1.16 内地金融 50 103,202 38,501 6747.91 17.60% -1.22% -2.65% 2.81% 17.60% -4.20% 9.90 1.15 沪互联网 95 30,000 18,519 2056.46 1.06% -2.09% -2.69% -2.70% 1.06% -- 17.37 1.85 800 金融 68 107,228 40,394 6372.19 16.74% -1.30% -2.82% 2.06% 16.74% -5.20% 10.13 1.17 煤炭等权 30 9,302 2,559 2301.26 6.08% 1.59% -2.83% -11.58% 6.08% -- 28.12 1.55 工业 4.0 25 11,651 6,630 2473.84-3.22% -2.43% -2.95% -8.02% -3.22% -- 61.26 4.76 基建工程 50 15,605 6,531 5786.09-6.28% -0.63% -2.98% -7.40% -6.28% -- 15.38 1.52 沪信息业 50 13,678 6,859 4329.5-4.53% -2.55% -3.04% -5.27% -4.53% 5.96% 35.21 2.93 上证休闲 50 7,278 3,031 1050.7-20.50% 0.37% -3.27% -10.76% -20.50% -16.84% 30.44 2.80 上证文化 50 7,000 3,031 1588.04-20.69% 0.37% -3.37% -11.07% -20.69% -19.46% 29.51 2.72 内地基建 50 30,245 10,875 2059.59 0.82% -1.64% -3.39% -4.22% 0.82% -6.68% 17.08 1.66 沪智交通 18 2,654 1,521 1741.13-16.98% -2.27% -3.80% -10.46% -16.98% 1.28% 24.80 2.61 300 基建 31 26,256 9,188 2124.37 3.65% -1.95% -3.89% -3.42% 3.65% -5.96% 16.46 1.64 300 非银 37 37,256 19,850 10176.71 19.62% -3.14% -4.06% 2.19% 19.62% -18.67% 24.61 2.08 互联金融 79 28,028 17,909 2791.68-9.37% -2.15% -4.24% -7.61% -9.37% -- 15.98 1.73 180 基建 24 23,068 7,874 1909.2 1.78% -2.05% -4.41% -4.44% 1.78% -6.38% 16.39 1.60 中证安防 34 6,897 3,236 2538.42-4.58% -2.35% -4.71% -10.96% -4.58% -- 38.47 5.78 沪互金融 23 17,153 12,156 2627.83-9.47% -1.52% -5.21% -8.55% -9.47% -- 12.82 1.56 800 证保 44 38,644 20,470 6192.91 9.13% -2.35% -5.32% -3.80% 9.13% -27.05% 24.97 2.08 中证证保 39 36,820 19,751 1003.42 9.18% -2.27% -5.34% -3.92% 9.18% -- 25.17 2.08 中证钢铁 41 8,729 3,535 1424.49 9.72% 0.34% -6.59% -6.76% 9.72% -- 37.71 1.62 钢铁产业 14 6,010 2,229 978.56 19.71% 0.47% -7.20% -7.37% 19.71% -6.18% 33.42 1.33 18/25

表 4: 风格指数市场数据 指数收益指数波动指数绩效 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率 Sharpe Jensen Treynor 380 价值 8364.95 9.01% 0.72% 2.09% -1.63% 9.01% 22.50% 14.05% 14.00% 0.46 0.07 0.06 380R 价值 6705.60 2.55% 0.49% 1.42% -2.88% 2.55% 16.55% 14.11% 13.87% 0.00 0.00 0.00 500 价值 8927.42 9.30% 0.97% 1.41% -0.90% 9.30% 31.11% 14.80% 14.48% 0.47 0.07 0.06 300R 成长 3510.69 16.73% -0.75% 1.37% 4.04% 16.73% 7.93% 14.66% 10.89% 1.31 0.14 0.16 300 成长 4490.53 27.95% -1.21% 1.31% 9.66% 27.95% 25.29% 16.95% 11.25% 2.26 0.26 0.37 180R 成长 2147.81 23.17% -0.86% 1.27% 6.50% 23.17% 7.03% 14.74% 10.03% 2.06 0.21 0.32 800 成长 5020.50 24.82% -0.92% 1.26% 7.52% 24.82% 25.81% 15.56% 10.75% 2.08 0.22 0.28 380 成长 5852.62 5.20% -0.43% 1.22% -1.41% 5.20% 18.61% 13.73% 13.60% 0.20 0.03 0.02 全指成长 3922.77 26.49% -1.24% 1.20% 9.04% 26.49% 22.42% 15.30% 10.06% 2.38 0.24 0.43 180 成长 3385.81 26.08% -0.97% 0.88% 8.96% 26.08% 18.79% 15.19% 10.71% 2.20 0.24 0.47 800 价值 5915.89 28.31% -0.45% 0.84% 7.50% 28.31% 28.85% 14.79% 10.26% 2.52 0.26 0.40 全 R 成长 2959.13 13.10% -0.59% 0.70% 1.89% 13.10% 5.99% 12.76% 9.94% 1.07 0.11 0.13 800R 成长 3886.57 9.47% -0.49% 0.67% -0.05% 9.47% 10.79% 13.66% 11.55% 0.60 0.07 0.07 380R 成长 4633.67-1.49% -0.45% 0.64% -3.20% -1.49% 12.92% 14.12% 13.85% -0.29-0.04-0.03 300 价值 5063.64 32.33% -0.67% 0.55% 8.71% 32.33% 32.32% 15.84% 11.02% 2.71 0.30 0.60 500 成长 7241.28 7.32% -0.12% 0.55% -3.52% 7.32% 30.67% 14.35% 13.90% 0.35 0.05 0.04 全指价值 4272.29 24.79% -0.48% 0.24% 6.39% 24.79% 23.92% 13.93% 9.79% 2.28 0.22 0.47 800R 价值 5039.83 19.32% -0.34% 0.24% 3.49% 19.32% 18.35% 12.93% 9.92% 1.70 0.17 0.22 300R 价值 4231.50 25.15% -0.48% 0.15% 5.64% 25.15% 19.20% 14.16% 10.16% 2.23 0.23 0.37 500R 价值 7056.28 0.15% 0.51% -0.06% -4.74% 0.15% 17.27% 14.19% 14.79% -0.16-0.02-0.02 500R 成长 5782.98-0.57% -0.22% -0.32% -5.88% -0.57% 17.64% 14.51% 14.56% -0.21-0.03-0.02 全 R 价值 3754.02 15.57% -0.33% -0.61% 1.95% 15.57% 11.79% 12.26% 9.35% 1.40 0.13 0.21 180 价值 4227.17 23.39% -0.35% -0.81% 6.03% 23.39% 18.95% 14.46% 10.77% 1.94 0.21 0.63 180R 价值 3126.51 17.22% -0.28% -1.42% 2.60% 17.22% 8.33% 13.15% 9.73% 1.51 0.15 0.34 19/25

表 5: 红利指数市场数据 指数特征指数收益指数股息 指数 收盘点位 总市值 ( 亿 ) 调整市值 ( 亿 ) 1 年分红 ( 亿 ) 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 样本平均股息指数股息率 消费红利 23439.45 25,026 11,661 398 32.11% -0.64% 5.82% 8.99% 32.11% 81.55% 1.59% 1.59% 红利潜力 8687.18 69,153 25,044 1,925 60.67% 0.10% 5.66% 16.54% 60.67% 113.25% 2.84% 2.78% 沪消费红 20080.92 14,109 6,593 179 45.53% -1.12% 5.46% 10.39% 45.53% 84.01% 1.27% 1.27% 沪信息红 11613.54 2,710 1,356 36 23.68% 0.87% 4.63% 1.43% 23.68% 70.52% 1.34% 1.34% 沪医药红 8042.88 2,546 1,399 41 7.81% -1.81% 3.88% 2.24% 7.81% 27.75% 1.60% 1.60% 上红潜力 5647.44 56,852 17,260 1,774 39.38% 0.15% 3.57% 11.49% 39.38% 47.87% 3.12% 3.12% 红利回报 6255.77 43,748 20,800 1,004 34.41% -0.07% 3.42% 10.15% 34.41% 49.36% 2.34% 2.29% 可选红利 14860.94 16,547 9,191 563 18.01% 0.81% 3.12% 4.08% 18.01% 83.62% 3.52% 3.40% 上红回报 5578.53 40,884 17,349 1,095 30.20% -0.05% 2.57% 8.15% 30.20% 41.50% 2.68% 2.68% 医药红利 15068.33 6,757 3,615 90 4.87% -0.68% 2.30% 3.11% 4.87% 69.60% 1.37% 1.32% 沪可选红 11819.75 9,764 4,031 376 12.42% 1.23% 1.92% 0.62% 12.42% 50.18% 3.85% 3.85% 上民红利 2831.70 11,285 6,138 308 14.13% 1.41% 1.92% 9.40% 14.13% 39.82% 2.73% 2.73% 民企红利 3735.57 13,822 8,631 389 7.02% 1.70% 1.91% 1.84% 7.02% 76.70% 2.91% 2.81% 300 红利 5984.23 111,912 39,401 4,218 30.16% 0.90% 1.58% 6.03% 30.16% 31.27% 3.77% 3.77% 180 红利 3903.52 87,985 26,155 3,623 24.43% 1.41% 1.17% 4.09% 24.43% 13.57% 4.12% 4.12% 信息红利 20884.57 9,163 4,689 108 22.07% -0.56% 1.10% -2.38% 22.07% 116.39% 1.18% 1.18% 红利低波 9055.08 67,327 34,178 1,871 19.91% 0.93% 0.90% 3.47% 19.91% 29.67% 2.83% 2.78% 国企红利 1745.57 100,151 31,786 3,936 23.04% 0.72% 0.70% 2.93% 23.04% 22.45% 3.93% 3.93% 上红低波 7940.71 62,477 31,771 1,722 19.53% 0.46% 0.65% 2.56% 19.53% 19.69% 2.76% 2.76% 上国红利 1319.35 80,068 19,980 3,437 20.69% 0.73% 0.65% 3.21% 20.69% 9.80% 4.29% 4.29% 工业红利 8137.75 17,686 6,540 370 7.26% 0.77% 0.59% -0.42% 7.26% 21.63% 2.09% 2.09% 中证红利 4750.79 129,923 46,831 4,631 17.57% 0.72% 0.53% 1.68% 17.57% 37.75% 3.60% 3.56% 上红价值 7042.74 55,255 28,995 1,676 15.05% 0.66% 0.52% 2.92% 15.05% 14.17% 3.03% 3.03% 红利价值 8153.74 57,888 30,253 1,825 13.73% 1.23% 0.33% 2.06% 13.73% 21.14% 3.15% 3.15% 红利指数 2993.99 96,546 29,629 3,871 16.31% 1.01% 0.27% 2.55% 16.31% 17.52% 4.01% 4.01% 沪金融红 6260.12 65,430 19,473 2,357 16.84% 1.94% 0.00% 1.30% 16.84% 13.26% 3.60% 3.60% 央企红利 2899.16 80,055 20,447 3,249 15.43% 0.84% -0.01% 2.47% 15.43% 1.23% 4.06% 4.06% 高分红 4767.01 119,931 43,890 4,360 21.38% -0.05% -0.06% 3.89% 21.38% 18.15% 3.64% 3.64% 20/25

沪材料红 5573.42 7,858 4,079 133 28.68% 1.02% -0.38% 3.75% 28.68% 52.99% 1.70% 1.70% 沪能源红 5591.87 23,050 1,763 926 13.28% 0.61% -0.41% 4.51% 13.28% -3.69% 4.02% 4.02% 金融红利 7845.93 72,806 22,951 2,540 15.96% 2.00% -0.47% 0.90% 15.96% 24.31% 3.49% 3.49% 500 红利 8840.22 8,661 4,409 205 0.31% 0.41% -0.67% -4.41% 0.31% 33.29% 2.41% 2.36% 380 红利 8795.47 6,424 2,422 210 9.12% 0.60% -0.72% -1.56% 9.12% 33.21% 3.27% 3.27% 上央红利 2039.82 79,983 19,793 3,214 13.48% 0.45% -1.04% 0.03% 13.48% 0.04% 4.02% 4.02% 沪工业红 7337.15 11,155 3,967 253 5.94% -0.04% -1.33% -0.69% 5.94% 16.91% 2.27% 2.27% 材料红利 6694.05 9,199 4,764 171 17.39% 1.50% -2.04% -0.64% 17.39% 57.90% 1.86% 1.86% 电信红利 8720.79 2,369 1,414 16-0.98% -3.48% -2.39% -5.28% -0.98% 69.90% 0.72% 0.68% 公用红利 3099.38 8,365 3,068 341-6.70% -1.07% -2.46% -6.94% -6.70% -20.06% 4.07% 4.07% 沪公用红 3425.82 7,391 2,645 310-3.84% -1.65% -2.52% -4.97% -3.84% -26.15% 4.20% 4.20% 能源红利 4167.69 24,658 2,217 965 1.30% 1.27% -2.90% -3.63% 1.30% -10.67% 3.91% 3.91% 沪电信红 8636.40 881 532 8-10.56% -6.79% -7.70% -14.60% -10.56% 52.76% 0.92% 0.92% 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 消费等权 6529.70 16.34% -0.46% 5.37% 2.64% 16.34% 32.83% 15.99% 15.95% 0.87 0.14 0.12 百发 100 13045.24 5.05% -0.35% 4.34% 5.35% 5.05% 25.44% 18.11% 16.27% 0.16 0.03 0.02 300 动量 4088.79 36.61% -1.14% 3.08% 12.13% 36.61% 5.77% 19.52% 11.90% 2.87 0.34 0.55 CS 医药 11033.37-0.08% -0.16% 3.00% 1.75% -0.08% -- 14.72% 13.90% -0.19-0.02-0.02 医药等权 8581.51 4.57% 0.64% 2.81% 4.40% 4.57% 37.57% 11.83% 11.80% 0.18 0.02 0.02 光大阳光 6584.41 45.60% -1.15% 2.79% 13.17% 45.60% 48.66% 19.63% 12.81% 3.36 0.43 0.64 180 动量 3163.98 35.95% -0.83% 2.73% 11.86% 35.95% 3.10% 19.03% 11.37% 2.94 0.34 0.78 380 动量 5781.47 11.28% -0.44% 2.73% 1.35% 11.28% 4.11% 17.04% 14.12% 0.62 0.09 0.08 380 稳定 6968.01 8.17% 0.18% 2.55% 0.18% 8.17% 27.29% 12.95% 12.84% 0.44 0.06 0.05 380 低贝 6060.01 3.99% 0.03% 2.49% -1.11% 3.99% 27.08% 9.85% 10.72% 0.14 0.02 0.02 21/25

富国多空 32742.45 45.34% 1.64% 2.25% 11.64% 45.34% 104.46% 16.46% 12.25% 3.50 0.43 0.52 800 动量 3696.58 29.55% -0.84% 2.24% 8.61% 29.55% 10.52% 16.91% 10.92% 2.48 0.27 0.37 淘金 100 11122.44 14.84% -0.22% 1.94% 2.08% 14.84% 133.92% 17.09% 14.74% 0.84 0.13 0.10 100 稳定 4546.52 40.02% -0.36% 1.90% 11.00% 40.02% 50.14% 16.45% 11.41% 3.29 0.38 0.88 中证龙头 4439.63 21.79% -0.09% 1.50% 4.83% 21.79% 32.04% 12.42% 9.66% 2.00 0.19 0.26 300 稳定 4568.36 33.05% -0.39% 1.45% 8.60% 33.05% 38.41% 14.43% 10.48% 2.91 0.31 0.51 500 低贝 10566.78 4.32% 0.19% 1.11% -1.24% 4.32% 36.50% 12.07% 11.90% 0.15 0.02 0.02 300 日报酬两倍 2943.14 46.80% -1.20% 1.08% 9.95% 46.80% 4.74% 27.80% 19.86% 2.23 0.45 0.31 央视 500 1308.35 20.62% -0.54% 0.97% 3.70% 20.62% 24.57% 13.04% 10.07% 1.80 0.18 0.22 380 波动 10046.96 2.96% 0.19% 0.85% -2.33% 2.96% 31.24% 10.83% 11.80% 0.04 0.01 0.00 200 稳定 6106.60 15.10% -0.45% 0.84% 1.97% 15.10% 26.14% 12.79% 11.51% 1.10 0.13 0.14 300 低贝 5918.81 21.28% 0.24% 0.81% 4.33% 21.28% 39.56% 9.11% 7.93% 2.37 0.19 0.40 500 稳定 8979.45 4.30% -0.13% 0.76% -2.47% 4.30% 31.02% 13.84% 13.26% 0.14 0.02 0.02 300 两倍 1884.63 40.50% -1.28% 0.73% 8.76% 40.50% -8.81% 27.76% 19.83% 1.92 0.38 0.27 可选等权 3121.18-4.70% 1.08% 0.59% -5.06% -4.70% 16.68% 10.09% 10.81% -0.67-0.07-0.08 300 分层 5039.38 11.78% -0.10% 0.57% 0.03% 11.78% 15.02% 10.45% 10.17% 0.91 0.09 0.11 380ERC 9015.61-2.48% 0.17% 0.52% -4.19% -2.48% -- 12.79% 13.40% -0.37-0.05-0.04 380 基本 7046.50 2.74% 0.35% 0.43% -4.08% 2.74% 17.18% 13.71% 13.98% 0.02 0.00 0.00 500SER 8344.74 1.18% 0.05% 0.41% -3.71% 1.18% 30.90% 12.85% 13.79% -0.10-0.01-0.01 安中动态 1164.28 23.43% -1.16% 0.34% 4.45% 23.43% 24.56% 13.51% 10.71% 1.95 0.21 0.27 创业成长 1433.34 6.08% -0.66% 0.32% -5.21% 6.08% 37.04% 14.99% 14.70% 0.24 0.04 0.03 180 反向 4226.34-16.06% 0.55% 0.27% -4.02% -16.06% -20.54% 13.40% 9.35% -1.98-0.19 0.36 180 稳定 10178.38 28.97% -0.22% 0.24% 7.11% 28.97% 27.59% 13.37% 9.95% 2.66 0.27 0.66 500 波动 11735.04 3.74% 0.15% 0.20% -2.70% 3.74% 34.28% 11.59% 12.17% 0.10 0.01 0.01 300ERC 4856.50 12.29% 0.21% 0.16% 0.62% 12.29% 16.58% 9.70% 8.87% 1.10 0.10 0.13 500 反向 1213.48-0.54% -0.13% 0.14% 5.38% -0.54% -- 14.21% 14.47% -0.21-0.03 0.02 200 动态 3014.26-2.47% 0.73% 0.14% -4.67% -2.47% -12.34% 12.67% 13.80% -0.36-0.05-0.04 材料等权 3382.59 16.36% 2.48% 0.07% -6.03% 16.36% 21.44% 15.76% 18.61% 0.74 0.14 0.11 180 反两 1005.49-33.17% 0.99% 0.04% -9.18% -33.17% -54.98% 26.85% 18.73% -1.90-0.36 0.34 50 反向 1507.31-19.94% 0.69% 0.01% -6.69% -19.94% -- 15.79% 10.93% -2.05-0.23 0.57 500ERC 7977.71-0.59% 0.14% -0.06% -5.03% -0.59% 28.71% 12.91% 13.85% -0.22-0.03-0.03 380 等权 7348.30-5.73% 0.24% -0.11% -5.79% -5.73% 16.21% 14.36% 14.49% -0.57-0.08-0.07 银河 99 6908.27 25.20% -0.20% -0.14% 6.12% 25.20% 25.62% 14.03% 10.68% 2.13 0.23 0.55 300SER 5557.08 15.96% -0.11% -0.14% 1.15% 15.96% 21.76% 10.58% 9.52% 1.41 0.14 0.18 500 反两 142.19-7.29% -0.36% -0.23% 9.21% -7.29% -- 28.42% 28.95% -0.34-0.10 0.04 22/25

工业等权 3035.25 0.87% -0.35% -0.26% -1.82% 0.87% -0.40% 10.97% 12.32% -0.13-0.01-0.02 创业价值 2046.96 8.89% 0.92% -0.26% -0.58% 8.89% 41.42% 12.80% 14.84% 0.43 0.07 0.05 300 等权 4310.62 7.06% 0.09% -0.26% -1.73% 7.06% 9.23% 10.69% 10.44% 0.44 0.05 0.05 500 高贝 4643.83-7.76% 0.67% -0.30% -8.47% -7.76% 13.45% 17.35% 18.08% -0.57-0.10-0.07 财富大盘 5275.53 21.55% -0.25% -0.42% 4.34% 21.55% 27.06% 13.09% 9.62% 1.98 0.19 0.35 腾讯济安 2489.99 2.42% 1.13% -0.42% -3.88% 2.42% 51.68% 11.62% 12.99% -0.01 0.00 0.00 50 反两 350.11-39.42% 1.27% -0.54% -14.29% -39.42% -- 31.63% 21.89% -1.91-0.42 0.53 800 等权 6065.14 0.44% 0.16% -0.54% -4.84% 0.44% 16.79% 12.15% 12.81% -0.16-0.02-0.02 300 反向 1739.97-17.59% 0.58% -0.66% -4.87% -17.59% -25.34% 13.90% 9.92% -2.02-0.20 0.28 500 等权 7443.61-3.40% 0.20% -0.72% -6.66% -3.40% 21.07% 13.85% 14.82% -0.40-0.06-0.05 180 低贝 10349.05 17.33% 0.44% -0.73% 1.71% 17.33% 26.33% 10.71% 7.97% 1.86 0.15 0.45 180ERC 4656.87 12.03% 0.08% -0.73% -0.58% 12.03% -- 9.59% 8.30% 1.15 0.10 0.16 380 动态 4157.46-8.25% -0.12% -0.74% -6.98% -8.25% 1.44% 15.67% 15.50% -0.69-0.11-0.08 50 两倍 1377.68 47.92% -1.53% -0.76% 12.80% 47.92% -- 31.54% 21.87% 2.08 0.46 0.57 300 日报酬反向 1443.09-18.71% 0.56% -0.77% -5.19% -18.71% -28.80% 13.91% 9.93% -2.14-0.21 0.30 300 动态 3102.72 2.18% -0.86% -0.79% -2.01% 2.18% -13.76% 14.31% 11.96% -0.03 0.00 0.00 公用等权 2190.50-12.28% -2.06% -0.80% -6.49% -12.28% -20.13% 11.74% 12.30% -1.20-0.15-0.17 500 两倍 3743.82-6.71% 0.14% -0.92% -11.90% -6.71% -- 28.42% 28.93% -0.32-0.09-0.04 小康指数 5789.72 15.09% 0.51% -0.94% 1.83% 15.09% 17.51% 10.99% 9.81% 1.28 0.13 0.22 180 分层 10534.53 8.50% -0.10% -0.94% -2.69% 8.50% 10.13% 9.99% 9.46% 0.63 0.06 0.08 380 高贝 5167.35-14.14% 0.88% -0.95% -9.52% -14.14% 1.75% 19.35% 18.58% -0.90-0.16-0.11 50 基本 3103.29 20.30% -0.29% -0.96% 4.29% 20.30% 17.73% 13.25% 10.52% 1.69 0.18 0.61 等权 90 3104.40 13.76% 0.18% -0.98% -0.76% 13.76% 13.74% 11.90% 10.50% 1.07 0.11 0.14 180 基本 11496.12 18.36% -0.01% -1.08% 3.11% 18.36% 18.00% 11.84% 9.42% 1.68 0.16 0.40 能源等权 2662.78-1.45% 0.62% -1.09% -8.68% -1.45% -11.81% 18.64% 19.72% -0.20-0.04-0.03 CS 娱乐 1992.46-12.53% -0.97% -1.10% -6.13% -12.53% -- 14.26% 14.87% -1.01-0.15-0.14 180 两倍 4055.90 35.88% -1.23% -1.11% 7.06% 35.88% -18.80% 26.78% 18.69% 1.79 0.34 0.32 100 动态 3056.31 14.46% -1.58% -1.12% 3.76% 14.46% -13.92% 16.91% 12.15% 0.98 0.12 0.16 50 等权 2513.13 11.06% 0.38% -1.15% 0.04% 11.06% 6.88% 11.61% 9.44% 0.91 0.09 0.19 500 动态 4390.27-4.59% 0.39% -1.18% -8.27% -4.59% 5.51% 15.01% 16.26% -0.44-0.07-0.05 180 动态 6985.96 1.49% -1.07% -1.24% -2.34% 1.49% -14.90% 14.67% 11.38% -0.09-0.01-0.01 300 波动 7268.43 21.71% -0.19% -1.28% 1.37% 21.71% 29.84% 8.96% 8.40% 2.29 0.19 0.38 沪财中小 9568.18-6.18% 0.20% -1.40% -8.34% -6.18% 26.84% 13.55% 15.52% -0.56-0.08-0.07 300 高贝 2826.22-4.44% 0.79% -1.46% -7.79% -4.44% -9.64% 13.50% 14.06% -0.49-0.07-0.06 信息等权 4454.57-11.39% -0.46% -1.50% -6.25% -11.39% 9.81% 20.87% 18.58% -0.75-0.14-0.10 23/25

金融等权 5174.41 15.54% -0.73% -1.58% 1.34% 15.54% -2.48% 16.39% 12.62% 1.03 0.13 0.40 180 等权 9007.14 5.07% 0.10% -1.69% -3.81% 5.07% 5.36% 9.57% 9.42% 0.27 0.03 0.03 180 波动 13365.46 17.01% -0.09% -1.80% 0.29% 17.01% 18.80% 9.87% 8.31% 1.75 0.15 0.30 300 反两 398.06-35.66% 1.05% -1.81% -10.84% -35.66% -60.36% 27.84% 19.87% -1.92-0.38 0.27 转型成长 31002.76-3.32% 0.63% -2.92% -6.68% -3.32% 109.23% 15.49% 16.57% -0.35-0.06-0.05 180 高贝 6536.46-3.05% 0.08% -2.94% -8.98% -3.05% -5.54% 11.53% 12.28% -0.45-0.05-0.06 电信等权 2917.30-6.27% -3.26% -4.73% -10.13% -6.27% 41.81% 20.18% 18.85% -0.47-0.09-0.08 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 300 5992.07 23.34% -0.05% 0.32% 5.48% 23.34% 33.21% 13.04% 9.73% 2.14 0.21 0.36 基本 200 4939.30 22.53% 0.00% -0.03% 4.57% 22.53% 27.83% 12.83% 9.70% 2.06 0.20 0.36 基本 600 5561.95 18.79% 0.09% -0.15% 2.65% 18.79% 26.79% 11.79% 9.49% 1.72 0.16 0.24 基本面 50 4436.24 26.29% -0.40% -0.42% 6.73% 26.29% 33.82% 14.62% 10.62% 2.24 0.24 0.67 基本 400 7007.14 4.32% 0.49% -0.67% -4.56% 4.32% 20.74% 13.90% 14.09% 0.13 0.02 0.02 上证 F500 5254.34 15.45% 0.03% -0.72% 1.51% 15.45% 20.44% 11.00% 8.97% 1.44 0.13 0.23 上证 F300 7326.82-2.36% 0.22% -0.73% -7.19% -2.36% 15.74% 13.92% 14.43% -0.34-0.05-0.04 上证 F200 4724.39 18.22% 0.00% -0.73% 2.85% 18.22% 21.16% 11.76% 9.26% 1.70 0.16 0.33 基本 500 7327.15-7.15% -0.20% -1.14% -8.43% -7.15% 21.23% 14.30% 14.76% -0.65-0.09-0.08 24/25

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