定期分析报告 中证指数 1 月份运行报告 目录 1 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... 21 表 7: 基本面指数市场数据... 24
定期分析报告 1 月份市场概要 1 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 月内, 或受经济政治等多方面因素影响, 美元对人民币汇率急速下跌超 3%, 且其对国际主要货币多数走软 美国 1 月非农数据公布, 公布值为 20 万人, 好于预期的 18 万人, 数据公布后, 美元指数有所上涨 此外, 美国国会参议院 19 日晚未能通过临时拨款法案, 联邦政府非核心部门从 20 日零时起正式关门 月内, 标普 500 指数继续上涨, 月中创下 2872.87 点的最高纪录, 月末收至 2823.81 点, 全月上涨 5.62% 日经 225 指数上涨 1.46%, 香港 100 指数涨幅达 10.30%,STOXX 欧洲 600 涨幅为 1.61%, 收至 395.46 点 1 月份沪深市场表现较好, 除中证 500 和中证 1000 外, 其他主要指数皆收涨 1 月份官方制造业 PMI 为 51.3%, 虽比上月回落 0.3 个百分点, 仍与去年同期持平, 制造业继续保持稳步扩张走势 ; 官方非制造业商务活动指数为 55.3%, 高于上月 0.3 个百分点, 非制造业延续稳中有升的良好发展态势 ;4 日, 一行三会发布 关于规范债券市场参与者债券交易业务的通知, 其明确了市场参与者建立内控制度及风控指标的有关标准 ;19 日, 证监会发布 证券期货业场外市场交易系统接口 金融行业系列标准, 其有利于扩展及完善场外交易系统和柜台交易系统的功能, 实现对证券公司柜台市场业务的统一监管 上证综指快速上拉, 月内实现 9 连阳, 全月上涨 5.25%, 收至 3480.83 点 当月上海市场日均成交金额 2616.13 亿元, 环比上涨 52.95% 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 8.83%; 跌幅最大的为中证 1000, 跌幅达 3.23%; 沪深 300 指数月内涨幅为 6.08% 创业板全月下跌 1%, 中小板指全月下跌 1.78% 1 月份主题及行业指数表现较好 300 地产指数涨幅达 22.34%, 涨幅居首, 内地地产上涨 18%, 涨幅第二 ; 在跌幅方面, 有 160 多条主题行业指数呈现下跌态势, 其中 800 半导下跌 15.13%, 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 1 月份沪深市场表现较好, 除中证 500 和中证 1000 外, 其他主要指数皆收涨 1 月份官方制造业 PMI 为 51.3%, 虽比上月回落 0.3 个百分点, 仍与去年同期持平, 制造业继续保持稳步扩张走势 ; 官方非制造业商务活动指数为 55.3%, 高于上月 0.3 个百分点, 非制造业延续稳中有升的良好发展态势 ;4 日, 一行三会发布 关于规范债券市场参与者债券交易业务的通知, 其明确了市场参与者建立内控制度及风控指标的有关标准, 同时, 引导市场参与者实施科学合理的激励机制 ;19 日, 证监会发布 证券期货业场外市场交易系统接口 金融行业系列标准, 其有利于扩展及完善场外交易系统和柜台交易系统的功能, 提升证券公司柜台市场互联互通的对接效率, 实现对证券公司柜台市场业务的统一监管 上证综指快速上拉, 月内实现 9 连阳, 全月上涨 5.25%, 收至 3480.83 点 当月上海市场日均成交金额 2616.13 亿元, 环比上涨 52.95% 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 8.83%; 跌幅最大的为中证 1000, 跌幅达 3.23%; 沪深 300 指数月内涨幅为 6.08% 上海市场中, 指数多数上涨, 上证 50 涨幅达 8.96%, 居于首位, 其次为超大盘 (8.81%) 上证 180(7.20%), 上证综指 (5.25%), 上证全指 (5.21%) 以及上证 380(-0.71%) 创业板全月下跌 1%, 中小板指全月下跌 1.78% 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 1 月份沪深 300 指数从上月末 4030.85 点上涨至 4275.90 点, 高点为 4403.34 点, 月内走势一路高歌, 月末有所调整, 全月上涨 6.08% 1 月份沪深 300 指数日均成交 2178.72 亿元, 环比上涨 66.91% 1 月末沪深 300 指数滚动市盈率为 16.50 倍, 与上月末 15.35 倍水平略有上升 图 6: 沪深 300 指数走势 一级行业指数表现较好, 除信息技术 电信业务外, 其余指数皆收涨, 其中能源行 业涨幅居首, 涨幅达到 12.14%, 其次是金融地产, 涨幅为 10.70%; 此外, 电信业务下跌 9.27%, 跌幅居首, 其次为信息技术, 跌幅为 1.85% 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 40.19% 13.07% 11.91%, 累计权重 65.17% 电信和公用事业行业权重较低, 分别为 1.98% 和 2.55% 3 / 25
定期分析报告 1 月末沪深 300 指数滚动市盈率为 16.50 倍, 市净率为 2.14 倍 从行业来看, 主要消费市盈率最高, 滚动市盈率为 46.80 倍, 与上月 43.17 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 10.49 倍, 市净率为 1.63 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 6.54% 3.09% 和 2.81% 美的集团权重位列第四, 为 2.18%, 格力电器 兴业银行 民生银行位列 5 6 7 位, 权重为 2.16% 1.87% 和 1.72%, 前 10 大权重股权重合计 25.01% 1 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格力电器 中国平安和招商银行, 分别贡献 20.23 点 18.98 点和 17.43 点, 前 10 只股票合计贡献 120.22 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 1 月份主题及行业指数表现较好 300 地产指数涨幅达 22.34%, 涨幅居首, 内地地产上涨 18%, 涨幅第二 ; 在跌幅方面, 有 160 多条主题行业指数呈现下跌态势, 其中 800 半导下跌 15.13%, 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 1 月风格指数多数收涨,180 价值涨幅居首, 涨幅为 10.22%;500 成长跌幅居首, 跌幅为 0.68% 涨幅超过 10% 的指数还包括 300 价值, 涨幅为 10.10% 基本面指数多数上涨, 其中中证锐联基本面 50 指数涨幅居首, 涨幅达 10.85%; 上证基本面 300 指数跌幅居首, 跌幅为 0.66% 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 1 月份红利系列指数多数上涨, 红利潜力涨幅居首, 达 10.81%; 涨幅超过 10% 的指数还包括中证央企红利指数, 涨幅为 10.58%; 上证 380 红利指数涨幅垫底, 仅为 1.73% 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 3.64% 3.55% 和 3.33% 中小板板块与创业板板块股息率分别为 2.02% 0.49% 图 17: 红利指数系列与基准指数股息率对比 1 月份波动率加权指数系列的波幅较上月有所上升, 沪深 300 中证 500 波动率加权 指数波幅分别为 8.50% 12.06% 6 / 25
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 1 月份高 低贝塔指数有涨有跌, 涨幅居首的为 180 高贝, 涨幅为 5.82%; 跌幅最大 的为 500 高贝, 跌幅为 4.49% 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 1 月商品期货指数表现较好,1 条指数下跌 其中中证能源化工期货成份指数涨幅最大, 达到 1.20%, 唯一下跌的指数为中证贵金属期货成份指数, 跌幅为 0.61% 其余指数涨幅分别为中证化工材料期货成份指数 (1.13%) 中证工业品期货成份指数(0.79%) 中证粮油期货成份指数 (0.61%) 中证工业金属期货成份指数(0.54%) 中证有色金属期货成份指数 (0.51%) 中证商品期货成份指数(0.50%) 以及中证农产品期货成份指数 (0.23%) 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 4275.90 6.08% -2.41% 6.08% 6.72% 26.21% 24.50% 10.93% 10.22% 18.01 1.86 1.95% 300 金融 7158.26 10.70% -1.96% 10.70% 11.85% 26.92% 21.34% 15.25% 13.00% 11.63 1.37 2.36% 300 消费 16187.83 7.91% -1.91% 7.91% 19.06% 90.47% 159.06% 29.58% 21.86% 43.14 7.35 1.34% 300 能源 2175.65 12.14% -0.90% 12.14% 15.95% 17.44% 1.16% 19.59% 13.40% 39.37 1.43 3.22% 300 公用 1960.22 1.12% -1.72% 1.12% -2.98% 8.49% -4.90% 8.74% 9.07% 16.07 1.93 3.33% 300 可选 6383.45 7.18% -2.86% 7.18% 7.99% 35.44% 33.95% 21.00% 15.01% 21.25 3.09 2.15% 300 电信 3174.09-9.27% -5.78% -9.27% -11.61% 19.53% 27.61% 22.31% 21.15% 73.94 2.47 0.20% 300 工业 2654.27 1.36% -2.91% 1.36% -1.37% 4.14% -0.92% 12.82% 12.09% 22.56 2.00 1.18% 300 信息 2272.65-1.85% -5.11% -1.85% -4.84% 19.89% 22.14% 20.97% 18.31% 45.96 4.85 0.62% 300 医药 10244.77 1.69% -2.62% 1.69% 2.06% 27.17% 61.87% 16.58% 14.15% 42.04 5.34 0.73% 300 材料 2711.03 3.31% -0.44% 3.31% 3.95% 25.44% 22.00% 15.28% 17.06% 44.56 2.40 1.03% 中证 500 6189.34-0.98% -3.04% -0.98% -5.65% -0.55% 9.88% 13.84% 14.36% 33.89 2.47 0.85% 500 金地 5480.56 7.22% -2.67% 7.22% -1.47% -2.11% 6.78% 18.95% 14.44% 22.78 1.91 1.21% 500 消费 9187.50 0.58% -2.81% 0.58% 0.27% 14.58% 30.33% 15.94% 14.94% 38.60 3.25 1.09% 500 能源 4251.38 4.79% 1.32% 4.79% 2.79% -4.58% -5.70% 25.77% 23.32% 53.68 1.78 0.84% 500 公用 3138.85-1.42% -3.70% -1.42% -4.18% -17.05% -21.23% 12.39% 15.00% 20.42 1.41 1.88% 500 可选 4912.80 0.34% -2.70% 0.34% -7.39% -11.33% 7.51% 13.05% 12.41% 29.79 2.38 1.03% 500 电信 5196.35-9.93% -4.62% -9.93% -6.95% 14.94% 53.02% 19.81% 20.97% 52.83 3.62 0.32% 500 工业 5412.47-3.99% -3.29% -3.99% -11.41% -8.71% -8.42% 14.14% 15.46% 33.81 2.34 0.75% 500 信息 6308.81-7.28% -5.33% -7.28% -13.14% -6.61% 2.70% 23.09% 19.34% 40.69 3.13 0.66% 500 医药 12309.73-2.10% -2.68% -2.10% -2.17% 2.26% 15.47% 12.78% 13.23% 35.23 3.38 0.85% 500 原料 5071.91 4.32% -1.88% 4.32% 1.51% 18.79% 37.20% 20.20% 20.29% 42.05 2.44 0.57% 中证全指 4974.35 1.54% -2.97% 1.54% -1.73% 4.27% 16.01% 10.47% 10.92% 23.11 2.16 1.42% 全指金融 6713.59 10.33% -2.05% 10.33% 10.52% 23.46% 19.74% 14.48% 12.13% 12.14 1.41 2.25% 全指消费 11754.05 3.75% -2.84% 3.75% 6.63% 34.34% 72.67% 19.41% 15.56% 39.00 5.20 1.25% 全指能源 2229.55 7.69% -0.61% 7.69% 7.52% 4.91% -3.95% 19.04% 15.92% 39.23 1.48 2.84% 全指公用 2295.46-0.74% -2.50% -0.74% -6.54% -9.18% -15.26% 9.96% 9.78% 18.05 1.74 2.59% 全指可选 5815.21 2.34% -2.96% 2.34% -1.92% 3.42% 17.93% 13.48% 11.97% 25.68 2.79 1.51% 全指电信 6162.81-9.67% -5.68% -9.67% -11.85% 1.26% 32.23% 19.39% 17.92% 59.23 2.87 0.26% 9/25
全指工业 3646.87-2.24% -3.37% -2.24% -8.83% -9.06% -3.49% 13.01% 13.15% 28.88 2.28 0.91% 全指信息 5490.56-5.01% -5.41% -5.01% -10.67% -4.25% 8.41% 20.82% 17.85% 46.22 3.89 0.56% 全指医药 10028.73-0.69% -2.78% -0.69% -2.23% 6.00% 24.67% 12.37% 11.85% 40.66 4.21 0.69% 全指材料 3531.18 1.47% -1.90% 1.47% -2.12% 6.68% 20.62% 15.85% 16.95% 45.00 2.58 0.72% 上证 180 9269.75 7.20% -1.93% 7.20% 7.88% 24.26% 20.90% 10.13% 9.62% 15.85 1.62 2.23% 180 能源 1886.77 14.66% -0.44% 14.66% 19.20% 19.69% 0.24% 23.14% 13.90% 39.34 1.42 3.46% 180 材料 2085.57 4.83% -0.56% 4.83% 8.59% 27.44% 14.48% 17.99% 19.50% 45.39 2.40 1.12% 180 工业 2334.46 2.88% -3.06% 2.88% 0.18% 7.02% -0.44% 13.20% 12.55% 20.26 1.81 1.32% 180 可选 2730.13 2.55% -2.24% 2.55% 0.85% 13.56% 3.31% 15.17% 13.63% 16.09 2.31 2.99% 180 消费 11850.81 8.25% -1.52% 8.25% 17.06% 90.61% 172.84% 26.73% 20.95% 51.25 8.14 1.12% 180 医药 5679.58 0.63% -3.19% 0.63% 1.91% 31.90% 62.55% 19.96% 15.58% 39.09 4.39 0.82% 180 金地 5910.56 10.45% -1.64% 10.45% 11.43% 26.62% 22.87% 14.14% 12.72% 11.09 1.31 2.46% 180 信息 2510.20-3.65% -4.95% -3.65% -8.15% -5.95% -12.09% 30.78% 19.46% 23.66 3.93 1.02% 180 电信 2140.36 1.53% -3.31% 1.53% -7.03% 5.53% 20.69% 21.22% 19.26% 87.11 2.04 0.11% 180 公用 1796.48 1.62% -1.86% 1.62% -2.54% 5.91% -1.82% 8.45% 8.76% 16.96 2.05 3.51% 上证 380 5533.91-0.71% -3.07% -0.71% -3.64% -0.12% 9.41% 13.88% 13.78% 29.44 2.56 1.18% 380 能源 1725.12 7.79% 0.93% 7.79% 13.38% 4.21% 7.06% 21.82% 20.46% 36.20 1.74 0.60% 380 材料 4617.01 4.97% -2.38% 4.97% 4.27% 18.54% 27.21% 21.43% 18.28% 39.80 2.79 0.75% 380 工业 5548.89-3.38% -3.50% -3.38% -10.03% -9.83% -8.47% 14.51% 16.15% 26.52 2.18 1.24% 380 可选 5785.43-0.23% -2.30% -0.23% -4.53% -3.71% 23.46% 11.22% 11.17% 28.38 2.72 1.26% 380 消费 8929.29 1.37% -3.27% 1.37% 4.35% 21.75% 38.52% 19.75% 17.02% 42.74 4.81 1.01% 380 医药 10469.33-2.35% -2.50% -2.35% -4.16% 0.38% 19.82% 14.57% 13.22% 32.46 3.48 1.18% 380 金融 4860.76 8.72% -1.45% 8.72% 2.79% -6.39% -3.10% 26.41% 14.95% 17.28 1.68 1.65% 380 信息 5394.26-8.75% -6.24% -8.75% -9.06% -4.72% 3.05% 25.65% 20.55% 42.93 4.00 0.90% 380 电信 7339.49-9.07% -9.68% -9.07% -10.03% 21.72% 112.52% 36.30% 29.78% 37.16 3.67 0.65% 380 公用 2042.91-2.37% -2.09% -2.37% -6.17% -12.07% -20.20% 8.89% 13.59% 17.48 1.62 2.47% 中证超大 3681.46 9.61% -2.40% 9.61% 9.68% 27.41% 30.43% 12.24% 10.28% 14.66 1.57 2.47% 中证 100 4441.55 8.83% -2.19% 8.83% 11.12% 37.04% 36.60% 13.16% 11.18% 16.00 1.69 2.25% 中证 200 4396.64 0.58% -2.88% 0.58% -1.80% 7.24% 4.33% 12.08% 11.89% 28.65 2.61 1.07% 中证 700 5202.62-0.23% -2.96% -0.23% -3.83% 3.06% 7.17% 12.73% 12.94% 31.03 2.54 0.96% 中证 800 4592.86 4.23% -2.57% 4.23% 3.34% 18.30% 20.44% 10.26% 10.24% 19.85 1.96 1.73% 300 沪市 3907.35 7.02% -1.94% 7.02% 7.89% 24.46% 22.35% 10.06% 9.59% 15.95 1.62 2.21% 10/25
500 沪市 6349.71-0.68% -3.01% -0.68% -4.53% 0.03% 6.94% 14.71% 14.54% 31.67 2.28 1.03% 超大盘 2700.51 8.81% -2.21% 8.81% 9.27% 23.31% 32.57% 11.45% 10.07% 16.89 1.64 2.17% 上证 50 3116.83 8.96% -1.76% 8.96% 11.57% 31.84% 29.58% 12.19% 11.32% 14.39 1.48 2.50% 上证中盘 3764.04 4.19% -2.21% 4.19% 1.78% 12.34% 7.18% 11.21% 9.76% 21.13 2.11 1.56% 上证小盘 4633.05-1.13% -3.18% -1.13% -4.64% -0.69% 6.62% 13.84% 14.39% 31.95 2.34 1.04% 上证中小 4180.22 1.74% -2.65% 1.74% -1.23% 5.98% 7.17% 11.97% 11.36% 24.79 2.21 1.33% 上证全指 3571.06 5.21% -2.21% 5.21% 4.74% 17.52% 17.71% 9.60% 9.35% 17.44 1.72 2.00% 上证 100 6177.87-0.38% -3.13% -0.38% -2.97% 1.31% 9.37% 14.84% 13.40% 25.94 2.99 1.33% 上证 150 5054.12-3.05% -3.04% -3.05% -11.41% -21.15% 2.50% 12.44% 16.23% 51.08 2.85 0.38% 市值百强 3095.81 8.50% -1.75% 8.50% 10.40% 28.35% 25.47% 10.86% 10.23% 15.13 1.54 2.34% 上证能源 1825.69 9.74% -0.54% 9.74% 12.01% 11.83% -1.37% 19.62% 15.10% 39.24 1.44 3.01% 上证材料 2393.49 5.13% -1.14% 5.13% 7.11% 26.75% 19.86% 18.43% 18.18% 46.32 2.45 0.94% 上证工业 2478.76 2.42% -3.05% 2.42% -0.20% 5.05% 1.57% 13.07% 12.30% 20.60 1.83 1.31% 上证可选 2973.43 1.35% -2.74% 1.35% -1.05% 6.98% 8.20% 12.24% 10.88% 19.67 2.48 2.24% 上证消费 9532.80 4.72% -2.00% 4.72% 8.15% 48.78% 87.60% 19.32% 16.80% 50.17 6.86 1.08% 上证医药 6950.80-1.25% -2.96% -1.25% -0.95% 16.08% 40.05% 15.30% 12.83% 37.04 4.00 0.91% 上证金融 5847.25 10.87% -1.44% 10.87% 12.89% 32.04% 27.23% 14.89% 13.45% 10.67 1.27 2.55% 上证信息 3329.20-6.46% -5.10% -6.46% -10.27% -8.88% -12.68% 23.74% 18.40% 34.26 3.88 0.82% 上证电信 3237.19-6.15% -6.09% -6.15% -8.86% 6.78% 45.21% 21.52% 18.92% 66.37 2.36 0.25% 上证公用 2093.99 0.32% -1.96% 0.32% -4.48% -3.86% -14.02% 8.79% 8.59% 16.98 1.84 3.07% 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 地产指数 8342.69 14.95% -3.52% 14.95% 18.48% 26.09% 48.67% 24.00% 16.85% 14.60 1.89 2.00% 综合指数 3357.79 9.37% -1.48% 9.37% 7.84% 21.16% 14.96% 13.00% 10.15% 12.00 1.38 2.25% A 股指数 3645.80 5.26% -2.18% 5.26% 2.59% 10.21% 8.38% 9.00% 8.66% 18.94 1.83 1.79% 新综指 2939.63 5.26% -2.18% 5.26% 2.59% 10.22% 8.36% 9.00% 8.67% 18.94 1.83 1.79% 上证指数 3480.83 5.25% -2.17% 5.25% 2.58% 10.18% 8.42% 8.98% 8.66% 18.95 1.83 1.78% 11/25
上证流通 1262.69 3.66% -2.37% 3.66% 1.57% 9.28% 14.53% 9.36% 9.63% 18.94 1.83 1.79% 商业指数 3309.43 3.40% -2.06% 3.40% -8.41% -16.09% -12.44% 15.20% 15.60% 21.37 2.03 1.21% 工业指数 2709.58 2.67% -2.52% 2.67% 0.55% 6.84% 7.61% 11.05% 10.70% 33.34 2.42 1.53% 公用指数 6058.05 1.69% -2.77% 1.69% -4.13% 1.24% 2.69% 10.87% 10.47% 21.89 1.71 1.47% 中证流通 5257.70 1.41% -3.00% 1.41% -2.09% 3.74% 17.44% 10.47% 11.11% 23.25 2.18 1.40% B 股指数 344.75 0.86% -0.90% 0.86% -1.67% 1.84% 18.98% 7.96% 10.50% 19.51 1.27 0.25% 中型综指 1210.15-3.84% -3.30% -3.84% -11.61% -20.89% -4.07% 13.35% 14.92% 41.93 3.22 0.67% 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 内地地产 47 20,653 9,539 8605.28 18.00% -2.25% 18.00% 21.97% 29.82% 52.56% 18.36 2.37 细分地产 50 21,297 9,846 8090.26 16.54% -2.33% 16.54% 21.12% 29.33% 47.46% 18.79 2.38 上证银行 21 75,405 20,624 981.87 12.88% -0.82% 12.88% 13.61% 21.05% 34.67% 8.62 1.07 300 消服 18 16,499 9,531 9414.63 12.60% -2.66% 12.60% 14.64% 65.89% 90.14% 28.26 3.70 内地银行 24 79,047 22,424 7122.66 12.47% -0.71% 12.47% 14.19% 23.04% 36.89% 8.73 1.08 沪城基建 50 24,651 10,613 1983.67 11.41% -2.36% 11.41% 10.05% 9.22% 16.98% 15.92 1.68 城镇基建 100 38,450 17,405 2059.03 10.59% -2.78% 10.59% 9.59% 16.26% 29.30% 17.79 1.90 上证周期 50 141,063 44,673 3711.13 10.01% -1.37% 10.01% 12.91% 30.03% 21.61% 13.38 1.35 180 金融 45 107,808 38,932 5938.34 9.66% -1.70% 9.66% 9.86% 26.48% 21.57% 10.81 1.27 300 周期 123 188,291 63,947 4293.71 9.49% -1.69% 9.49% 11.16% 26.57% 19.56% 14.55 1.45 内地金融 50 115,226 41,983 7380.76 9.38% -1.84% 9.38% 9.79% 24.92% 17.57% 11.01 1.28 细分金融 50 116,346 41,909 7016.3 9.22% -1.90% 9.22% 9.64% 24.71% 16.65% 11.09 1.29 沪珠三角 45 46,894 26,797 6851.36 9.05% -1.11% 9.05% 16.36% 51.11% 65.54% 20.12 2.43 800 金融 68 119,351 43,915 6946.12 9.01% -1.93% 9.01% 8.85% 23.54% 15.70% 11.24 1.30 上证央企 50 134,023 31,412 1807.67 8.99% -1.84% 8.99% 10.11% 23.71% 13.88% 14.41 1.39 泛珠三角 47 64,638 38,668 10097.46 8.91% -2.00% 8.91% 16.25% 63.57% 86.77% 21.87 2.88 沪环渤海 45 85,313 14,841 2677.75 8.65% -1.54% 8.65% 8.06% 20.89% 12.59% 15.02 1.47 环渤海 48 88,262 16,886 2977.23 8.63% -1.76% 8.63% 6.82% 24.89% 18.90% 15.38 1.50 上证海外 47 134,833 38,727 1498.48 8.57% -1.80% 8.57% 11.46% 34.63% 24.82% 14.26 1.40 煤炭指数 30 10,477 2,854 3149.04 8.26% 1.93% 8.26% 10.07% 21.53% 29.49% 31.07 1.73 上证国企 100 187,320 56,831 1170.74 8.25% -1.77% 8.25% 8.58% 20.85% 16.78% 14.80 1.47 12/25
细分能源 50 35,009 5,431 2388.66 8.14% -0.72% 8.14% 8.37% 5.28% -2.90% 39.22 1.48 央企 100 100 160,784 42,842 2002.16 7.98% -2.17% 7.98% 8.61% 23.17% 17.08% 15.41 1.50 国企 200 200 246,539 83,599 1270.46 7.76% -2.13% 7.76% 7.71% 23.81% 22.27% 16.48 1.64 地企 100 100 85,754 40,757 1345.31 7.52% -2.09% 7.52% 6.73% 24.50% 28.42% 18.96 1.98 钢铁产业 14 6,519 2,430 1050.99 7.40% 0.92% 7.40% 4.58% 17.29% 4.59% 36.45 1.45 180 资源 17 34,010 5,443 3177.92 7.39% -0.64% 7.39% 11.17% 26.69% 11.59% 46.36 1.58 内地消费 50 51,989 25,290 9190.66 7.37% -2.43% 7.37% 12.30% 57.41% 76.33% 27.21 4.14 上证地企 50 53,297 25,419 1257.03 7.35% -1.69% 7.35% 6.64% 17.36% 20.69% 15.86 1.75 中证煤炭 30 10,260 2,774 1892 7.07% 1.59% 7.07% 7.06% 15.51% -- 31.10 1.71 ESG 40 40 98,154 31,494 1661.88 6.81% -2.17% 6.81% 8.40% 24.20% 26.74% 11.56 1.36 轻工产业 74 40,754 21,778 5127.94 6.67% -2.60% 6.67% 10.76% 57.38% 98.59% 35.61 5.06 180 治理 100 161,468 54,039 1086.97 6.59% -1.96% 6.59% 7.83% 24.12% 18.65% 15.18 1.51 石化产业 60 41,726 9,123 1383.59 6.54% -1.03% 6.54% 7.69% 19.40% 24.43% 38.54 1.64 责任指数 100 86,435 40,661 1598.86 6.33% -1.83% 6.33% 8.15% 27.44% 33.49% 14.87 1.65 中证服务 300 219,603 84,364 4636.75 6.05% -2.81% 6.05% 3.95% 9.88% 9.65% 14.58 1.62 中证旅游 21 3,711 1,645 4236.67 6.01% -1.19% 6.01% 0.50% 4.16% -- 28.88 3.12 ESG 100 100 178,031 65,999 1349.72 5.89% -2.53% 5.89% 6.03% 28.39% 34.94% 13.66 1.61 300 非银 37 38,894 20,866 10750.43 5.64% -3.10% 5.64% 4.24% 24.50% -3.93% 25.53 2.16 资源 50 50 43,013 9,302 2999.72 5.51% -0.97% 5.51% 6.58% 22.37% 17.06% 44.23 1.72 食品饮料 50 25,880 12,014 15163.18 5.48% -2.51% 5.48% 12.15% 60.74% 111.26% 46.47 7.02 细分食品 50 25,177 11,991 15093.88 5.48% -2.47% 5.48% 12.53% 61.97% 117.97% 47.76 7.00 中证央企 334 185,017 53,847 2134.43 5.48% -2.47% 5.48% 4.20% 13.13% 13.21% 16.49 1.58 上证上游 53 41,213 8,302 2690.65 5.32% -1.47% 5.32% 5.86% 17.12% 11.39% 45.73 1.66 沪股通 574 295,166 110,341 3315.09 5.26% -2.18% 5.26% 4.88% 17.32% 18.38% 17.42 1.74 中证白酒 17 18,114 7,823 6305.16 5.20% -3.68% 5.20% 11.64% 84.05% 160.96% 50.08 8.15 城镇消费 100 76,812 35,422 2051.52 5.13% -2.53% 5.13% 8.34% 44.16% 63.15% 30.04 4.28 中证证保 39 38,454 20,762 1053.94 5.03% -3.84% 5.03% 0.82% 13.26% -14.84% 26.11 2.15 治理指数 298 188,518 66,407 1163.66 5.01% -2.16% 5.01% 4.96% 17.37% 15.24% 16.08 1.55 上证资源 50 41,108 8,190 2364.28 4.96% -1.53% 4.96% 5.08% 17.50% 8.23% 45.57 1.66 中证国企 1031 322,818 119,645 1390.01 4.90% -2.48% 4.90% 2.60% 10.81% 15.64% 18.45 1.74 800 证保 44 40,304 21,491 6496.07 4.90% -3.74% 4.90% 0.47% 12.98% -14.20% 25.87 2.15 180 基建 24 24,240 8,274 2002.24 4.87% -2.97% 4.87% -2.77% 5.51% 8.59% 17.23 1.68 上证商品 50 42,425 8,921 2123.21 4.77% -1.12% 4.77% 4.86% 19.71% 15.51% 45.02 1.70 CS 广东 42 12,496 5,535 1903.83 4.76% -1.88% 4.76% 4.51% 7.77% -- 22.65 2.40 中证上游 50 43,196 9,568 3015.29 4.65% -0.51% 4.65% 3.74% 18.42% 7.35% 47.36 1.71 13/25
沪西部 36 19,375 9,656 6244.98 4.62% -1.93% 4.62% 4.20% 18.44% 20.09% 38.65 4.17 消费服务 100 155,655 57,467 8266.29 4.53% -2.57% 4.53% 6.07% 30.53% 40.47% 14.51 1.74 长三角 51 44,844 19,868 4807.43 4.45% -3.02% 4.45% 1.62% 17.34% 20.26% 18.38 1.97 中证地企 697 137,800 65,798 1463.87 4.44% -2.49% 4.44% 1.28% 8.95% 17.66% 22.02 2.01 中证下游 200 105,149 48,350 5985.04 4.44% -2.83% 4.44% 5.89% 28.95% 38.83% 31.35 3.56 上证龙头 71 149,334 45,124 3678.01 4.39% -2.13% 4.39% 4.47% 18.01% 26.81% 16.48 1.67 中证酒 29 19,293 8,397 3620.99 4.36% -3.62% 4.36% 7.59% 50.91% 87.23% 50.48 7.08 内地资源 50 42,302 9,432 3155.54 4.35% -0.32% 4.35% 2.94% 20.28% 9.48% 49.46 1.70 300 基建 31 27,461 9,589 2216.46 4.34% -2.94% 4.34% -2.74% 6.67% 6.43% 17.22 1.72 中证钢铁 41 9,281 3,735 1485.32 4.27% -0.13% 4.27% 1.81% 8.26% -- 40.36 1.72 CS 食品饮 85 27,677 12,987 12748.07 4.20% -2.56% 4.20% 7.89% 43.10% -- 46.19 6.55 上国改革 50 60,138 18,639 1758.17 4.19% -1.91% 4.19% 3.68% 16.96% 25.68% 19.52 1.71 上证沪企 50 38,580 16,129 2484.75 4.10% -2.37% 4.10% 0.03% 6.90% 4.92% 15.85 1.58 消费领先 100 128,140 48,960 8092.35 3.99% -2.27% 3.99% 2.81% 22.08% 31.87% 13.67 1.62 消费 50 50 33,710 14,268 8036.4 3.91% -2.11% 3.91% 4.72% 28.25% 43.54% 26.49 3.56 钱江 30 30 15,054 6,272 1454.68 3.91% -1.09% 3.91% 4.98% 33.76% 37.51% 30.00 4.42 资源 80 80 52,320 14,179 3640.82 3.90% -0.93% 3.90% 3.04% 19.02% 19.97% 44.63 1.85 煤炭等权 30 10,260 2,774 2390.06 3.86% 0.06% 3.86% 1.94% 8.37% 35.12% 31.10 1.71 资源优选 200 76,787 24,859 2734.8 3.86% -1.31% 3.86% 2.13% 14.15% 12.00% 41.31 1.92 优势资源 44 32,293 6,895 4355.73 3.79% -1.17% 3.79% 3.39% 20.92% 21.66% 71.49 1.77 国企改革 100 82,486 29,529 1683.78 3.76% -2.49% 3.76% 3.19% 16.97% 17.06% 21.28 1.89 内地基建 50 31,432 11,281 2135.93 3.71% -2.79% 3.71% -3.07% 3.72% 3.31% 17.75 1.72 180 运输 10 9,139 3,152 1284.29 3.59% -1.04% 3.59% 7.86% 36.07% 25.20% 25.11 2.08 内地农业 32 9,772 6,065 5733.2 3.58% -2.53% 3.58% 7.32% 26.83% 32.87% 32.59 3.71 西部开发 43 24,941 11,276 7561.86 3.51% -1.82% 3.51% 4.34% 23.91% 24.39% 30.89 3.46 混合改革 73 58,079 15,695 1943.76 3.49% -2.55% 3.49% 2.41% 11.21% -- 30.04 1.93 农业主题 40 8,539 4,867 1304.24 3.48% -2.38% 3.48% 1.27% 8.69% 19.59% 37.12 4.40 上证民企 50 26,558 14,496 1879.68 3.38% -3.06% 3.38% 3.82% 21.54% 26.75% 22.07 2.68 上证下游 176 66,810 29,018 4339.82 3.33% -2.32% 3.33% 3.08% 21.35% 32.99% 29.11 3.00 沪长三角 49 36,397 16,175 3534.94 3.29% -2.97% 3.29% 0.57% 10.42% 12.70% 16.01 1.63 沪城消费 50 36,310 16,765 1931.87 3.25% -2.28% 3.25% 4.28% 33.95% 44.22% 28.05 3.72 消费 80 80 44,553 19,661 4985.66 2.91% -2.28% 2.91% 4.49% 32.31% 51.12% 28.65 3.82 领先行业 150 114,811 52,129 9647.22 2.78% -2.38% 2.78% -0.20% 13.10% 34.97% 15.22 2.11 纺织产业 22 4,120 1,696 1976.77 2.71% -2.83% 2.71% -1.71% -0.62% 13.75% 27.47 2.45 300 非周 177 130,833 60,455 4572.38 2.69% -3.15% 2.69% 2.43% 25.78% 29.80% 27.51 3.10 14/25
CS 福建 25 9,367 5,284 1997.81 2.62% -3.14% 2.62% -4.71% 3.26% -- 13.71 1.52 A 股资源 50 43,514 9,627 4839.28 2.62% -1.48% 2.62% 0.55% 12.08% 8.49% 45.97 1.70 非周期 100 72,230 31,872 2988.54 2.54% -2.89% 2.54% 1.62% 18.09% 20.37% 23.51 2.53 大宗商品 98 53,008 14,890 4791.38 2.50% -1.75% 2.50% -0.06% 11.12% 24.64% 43.70 1.82 CS 京津冀 48 10,614 4,864 2266.32 2.50% -4.93% 2.50% -6.05% 3.91% -- 24.40 2.14 沪大农业 50 7,441 3,177 1407.95 2.41% -2.83% 2.41% -1.62% 0.06% 10.71% 41.89 3.24 内地运输 34 16,133 5,244 1904.54 2.41% -1.70% 2.41% 1.18% 16.11% 13.35% 28.22 2.31 中证城镇 250 137,398 64,719 2200.54 2.28% -3.35% 2.28% 0.89% 21.98% 35.06% 26.09 3.17 沪消费品 50 25,365 11,897 8654.04 2.07% -2.06% 2.07% 2.77% 26.63% 57.54% 45.53 5.29 沪新丝路 52 47,335 11,608 1649.85 2.03% -3.78% 2.03% -2.46% -0.19% -37.90% 27.28 1.52 300 公运 33 23,715 7,813 1649.28 2.00% -1.66% 2.00% -0.27% 12.32% 4.35% 21.32 2.14 沪投资品 50 25,578 9,716 4966.28 1.97% -1.43% 1.97% 2.15% 15.53% 2.52% 39.30 2.28 CS 轻资产 100 99,065 49,161 5987.42 1.96% -3.55% 1.96% 2.88% 34.65% -- 33.87 3.60 兴证海西 207 24,340 12,474 1543.88 1.93% -2.11% 1.93% -2.39% -1.34% 18.54% 22.07 2.21 上证休闲 50 7,396 3,107 1070.9 1.92% -2.10% 1.92% -8.01% -18.73% -22.39% 30.94 2.84 物流产业 26 10,921 3,063 1477.96 1.88% -3.25% 1.88% -7.59% 3.14% -6.40% 29.48 2.43 基建工程 50 16,145 6,732 5888.88 1.78% -2.96% 1.78% -6.89% -4.55% -- 15.91 1.58 上证文化 50 7,098 3,101 1615.68 1.74% -2.17% 1.74% -8.46% -18.97% -25.81% 29.93 2.76 细分化工 50 12,816 5,983 3592.45 1.70% -2.04% 1.70% -0.61% 8.93% 23.57% 34.92 2.85 CS 上海 47 13,151 5,968 2556.52 1.66% -2.67% 1.66% -7.91% -9.84% -- 23.46 2.09 中部崛起 45 17,690 6,932 3751.08 1.62% -3.40% 1.62% -0.11% 17.12% 15.21% 28.44 2.68 保险主题 20 49,557 19,966 2510.12 1.61% -1.56% 1.61% 3.78% 47.79% -- 24.30 1.79 船舶产业 3 1,824 890 1689.25 1.36% -1.93% 1.36% -1.91% -18.81% -32.39% 100.78 1.92 细分农业 50 8,227 3,918 5099.66 1.23% -4.08% 1.23% -1.81% -6.95% 0.02% 23.82 3.44 文体休闲 50 15,514 7,126 1214.81 1.19% -4.01% 1.19% -1.53% -6.95% -10.49% 33.73 3.66 中小国改 94 14,285 6,344 1665.53 1.18% -2.80% 1.18% -2.77% 2.09% -- 30.25 2.17 上证城镇 242 85,351 38,692 2121.57 1.08% -3.47% 1.08% -0.65% 11.89% 12.55% 23.54 2.60 300 有色 16 8,454 3,939 4194.77 1.07% 0.41% 1.07% 0.45% 18.64% 13.83% 91.36 3.30 沪中部 39 10,935 5,170 3771.22 1.04% -3.56% 1.04% -1.43% 14.73% 13.66% 25.33 2.13 中证医疗 46 4,858 2,500 7010.47 0.97% -2.95% 0.97% -2.79% -7.41% -2.69% 57.65 5.41 CS 休闲娱 100 17,658 7,578 4848.34 0.96% -3.63% 0.96% -6.40% -15.00% -- 31.51 3.21 东北振兴 38 9,458 5,504 4403.94 0.95% -2.53% 0.95% -3.89% 2.23% -8.24% 24.91 2.30 一带一路 83 52,603 14,923 1756.01 0.92% -3.74% 0.92% -2.90% 2.20% -- 27.44 1.56 互联金融 79 29,439 18,740 2816.55 0.89% -4.51% 0.89% -5.06% -5.64% -- 16.78 1.82 优势消费 50 27,185 13,571 6952.84 0.61% -2.77% 0.61% 1.64% 23.40% 46.88% 43.29 5.67 15/25
中证传媒 50 13,221 6,252 1734.75 0.52% -4.70% 0.52% -3.53% -15.21% -18.77% 34.19 3.55 民企 200 200 86,554 42,358 1832.37 0.43% -3.47% 0.43% -0.50% 14.88% 19.99% 29.76 3.53 有色产业 36 11,730 5,757 2287.68 0.40% -0.55% 0.40% -3.06% 16.59% 13.43% 90.55 3.29 细分有色 50 13,587 6,511 5750.25 0.32% -0.88% 0.32% -3.45% 14.57% 10.45% 87.13 3.32 沪互联网 95 30,979 19,125 2062.81 0.31% -3.68% 0.31% -3.80% 1.79% -- 17.97 1.91 有色金属 50 14,447 7,155 5222.7 0.26% -1.11% 0.26% -4.12% 17.66% 13.66% 87.55 3.37 中证基建 70 16,713 6,511 9177.95 0.17% -3.59% 0.17% -4.97% -3.81% -- 21.50 1.70 中证核电 50 9,002 3,761 2867.97 0.16% -1.73% 0.16% -9.33% -7.11% -- 26.83 1.87 上证基建 43 14,021 5,055 9649.65 0.15% -3.88% 0.15% -4.74% -3.69% -- 19.64 1.66 中证中药 42 8,191 4,177 11097.54-0.02% -2.61% -0.02% -5.80% -0.13% -- 30.24 3.58 中证文化 50 14,780 6,839 2168.58-0.03% -4.09% -0.03% -2.83% -7.64% -12.74% 37.41 3.91 沪互金融 23 18,419 12,938 2624.56-0.12% -3.82% -0.12% -6.70% -7.22% -- 13.77 1.68 医药生物 100 26,280 12,721 10244.25-0.24% -2.72% -0.24% -0.05% 13.99% 35.38% 41.57 4.53 中证文体 100 18,959 8,838 2117.48-0.25% -4.00% -0.25% -5.09% -14.04% -- 36.30 3.58 上证养老 40 32,696 18,638 9764.17-0.28% -2.67% -0.28% -3.33% 3.65% 15.36% 32.59 3.36 上证中游 177 52,162 23,749 3010.83-0.39% -3.43% -0.39% -2.60% 3.52% 3.15% 24.68 2.05 电子产业 138 46,871 26,126 3843.77-0.52% -4.64% -0.52% -2.36% 23.73% 34.89% 38.20 3.86 细分医药 50 19,328 9,313 10096.23-0.60% -2.75% -0.60% 0.59% 21.07% 44.09% 39.43 4.61 中证保险 20 29,679 16,282 2343.45-0.61% -2.19% -0.61% 0.33% 42.48% -- 21.34 2.25 互联网 150 62,833 35,602 2951.11-0.62% -3.86% -0.62% -3.64% 11.31% 25.52% 24.11 2.43 CS 智消费 100 32,710 17,913 2654.23-0.69% -4.21% -0.69% -3.85% 13.15% -- 26.62 3.55 浙企综指 380 44,411 19,298 7206.64-0.71% -2.49% -0.71% -5.32% -2.54% 26.18% 33.21 3.22 上证新兴 50 36,541 15,850 7242.02-0.76% -3.58% -0.76% -4.84% 7.07% 6.30% 25.41 2.39 黄金采掘 9 2,400 1,225 1186.8-0.81% -2.45% -0.81% 1.65% -12.75% -- 54.67 3.20 CS 智慧农 37 4,059 2,395 1265.77-0.96% -3.18% -0.96% -7.10% -13.90% -- 29.17 2.31 CS 土改农 28 3,396 1,649 994.3-1.08% -3.68% -1.08% -10.68% -15.10% -- 36.15 2.23 中证软件 100 15,502 8,311 7223.66-1.12% -5.46% -1.12% -5.50% -13.70% -- 46.45 3.90 大消费 360 117,246 57,787 8197.46-1.14% -3.31% -1.14% -5.26% -3.24% 14.90% 31.38 3.63 医药主题 50 12,839 6,504 10100.06-1.30% -2.60% -1.30% -3.44% -1.21% 18.36% 35.71 3.97 中证体育 19 2,086 863 1716.76-1.32% -3.91% -1.32% -12.86% -30.37% -- 38.12 4.08 CS 西部 33 4,482 2,407 1471.51-1.32% -3.10% -1.32% -8.23% -4.36% -- 34.55 2.25 浙江民企 325 32,300 14,395 8128.71-1.40% -2.44% -1.40% -6.22% -7.57% 21.51% 36.49 3.42 沪东北 31 8,456 5,262 4027.04-1.54% -2.81% -1.54% -4.03% 5.63% -0.75% 29.08 2.74 中证中游 250 83,854 40,793 3478.33-1.58% -3.31% -1.58% -4.70% 10.22% 13.33% 28.69 2.34 细分机械 50 17,478 8,643 4507.94-1.61% -2.73% -1.61% -3.73% 5.10% -10.67% 35.60 2.53 16/25
医药 100 100 26,334 13,076 13339.05-1.73% -2.96% -1.73% -3.84% 1.59% 21.95% 41.00 4.47 中小医疗 86 6,231 3,301 11706.47-1.85% -3.32% -1.85% -7.36% -15.30% -- 42.59 3.58 中证海洋 88 15,303 6,314 1346.86-1.89% -3.44% -1.89% -9.67% -18.04% -- 40.67 2.33 中证新兴 100 71,146 34,162 8327.17-2.00% -3.93% -2.00% -5.41% 8.58% 10.04% 29.35 3.02 非周民企 100 51,877 26,014 1532.26-2.15% -4.12% -2.15% -3.13% 21.42% -- 34.05 4.36 沪城交通 50 20,450 7,877 2116.64-2.25% -3.91% -2.25% -6.66% -3.73% 1.20% 18.24 2.04 持续产业 40 13,341 5,870 1167.29-2.26% -2.75% -2.26% -5.70% 7.80% 4.25% 23.45 2.44 中证民企 2276 228,398 109,232 2170.85-2.27% -3.61% -2.27% -7.63% -6.22% 21.05% 36.79 3.35 精工制造 200 66,372 28,804 3082.16-2.38% -3.41% -2.38% -5.96% -0.01% -2.65% 25.68 2.20 新材料 50 14,858 7,963 3471.12-2.39% -2.16% -2.39% -7.23% 26.65% 26.67% 52.29 3.53 CS 计算机 100 17,130 9,379 6947.62-2.50% -5.12% -2.50% -7.62% -0.31% -- 47.29 3.89 高铁产业 26 7,915 3,083 1939.13-2.73% -3.96% -2.73% -9.80% -12.97% -14.25% 20.78 1.82 沪智慧城 50 10,366 5,453 2019.47-2.74% -4.38% -2.74% -7.08% -7.25% -15.87% 25.62 2.74 中证 TMT 100 37,036 19,066 1944.14-2.74% -4.87% -2.74% -8.22% -6.05% 1.74% 43.60 3.42 300 信服 46 27,180 13,779 2297.87-2.77% -4.90% -2.77% -5.95% 13.49% 9.03% 45.63 4.09 汽车产业 29 12,040 4,848 4559.4-3.00% -3.34% -3.00% -4.61% 7.14% 14.14% 15.35 2.10 装备产业 87 22,206 11,225 1957.63-3.18% -3.23% -3.18% -6.77% -4.08% -15.49% 39.46 2.54 城镇交通 100 37,124 16,697 2276.44-3.24% -3.80% -3.24% -8.05% 7.81% 10.22% 23.07 2.62 内地低碳 50 19,740 9,564 1397.98-3.33% -2.46% -3.33% -7.50% 15.17% 16.83% 27.04 2.96 智慧城镇 100 27,075 14,162 2242.8-3.38% -4.74% -3.38% -6.35% 3.94% -0.90% 35.45 3.57 TMT 150 150 43,419 22,292 1852.9-3.56% -4.99% -3.56% -8.80% 3.17% 8.70% 42.47 3.38 CS 汽车 AM 68 20,512 13,311 2213.2-3.59% -3.34% -3.59% -8.30% 1.47% -- 21.84 2.60 上证健康 50 14,088 8,300 1362.32-3.59% -3.98% -3.59% -8.55% -2.37% 8.44% 38.25 4.30 中证汽车 100 18,476 7,643 5577.31-3.63% -3.33% -3.63% -8.07% -4.03% -- 18.48 2.25 高端装备 60 14,424 6,652 7616.22-3.76% -3.58% -3.76% -10.79% -16.87% -15.09% 39.21 2.48 信息产业 100 39,674 20,085 5282.24-3.86% -4.97% -3.86% -7.94% 7.91% 6.80% 41.50 3.69 优势制造 50 14,363 6,653 6452.17-3.87% -3.55% -3.87% -8.45% -10.16% -18.56% 38.64 2.46 健康产业 100 32,052 16,895 1936.68-3.96% -3.56% -3.96% -7.83% 1.39% 22.16% 34.26 4.55 上证环保 40 12,389 5,355 1494.79-3.98% -3.77% -3.98% -10.22% -5.50% -8.53% 23.93 2.72 技术领先 200 60,960 29,957 6506.09-4.12% -4.09% -4.12% -8.18% -2.26% 2.53% 34.18 3.29 上证汽车 50 12,102 4,293 5553.29-4.24% -3.36% -4.24% -7.53% -0.46% -- 16.84 2.21 军工指数 48 8,013 4,149 1119.84-4.26% -3.37% -4.26% -10.76% -25.10% -21.31% 70.97 2.76 新能源 50 15,346 7,987 1655.27-4.44% -2.46% -4.44% -9.59% 9.39% 6.51% 34.12 3.18 沪绿色城 50 14,648 5,961 1950.39-4.52% -3.86% -4.52% -7.87% 8.26% 18.82% 20.49 2.53 上证高新 50 9,873 5,493 1487.64-4.59% -4.51% -4.59% -7.10% -4.89% -10.07% 46.20 3.98 17/25
绿色城镇 100 28,339 13,448 1884.36-4.60% -3.22% -4.60% -11.02% 6.59% 17.53% 24.53 2.86 上证军工 22 4,747 2,317 6774.75-4.63% -3.56% -4.63% -10.97% -26.79% -26.75% 75.83 2.45 沪信息业 50 13,131 6,522 4116.83-4.91% -5.01% -4.91% -10.07% -7.31% -12.08% 33.86 2.82 中证新能 80 19,601 10,165 1753.5-4.95% -2.82% -4.95% -9.51% 3.73% -- 34.28 2.92 机器人 44 5,786 2,769 1296.86-4.98% -3.85% -4.98% -11.53% -7.83% 5.76% 45.47 3.58 上证 TMT 50 13,259 6,442 1830.02-5.10% -4.95% -5.10% -12.58% -22.71% -8.51% 34.75 2.79 中证环保 100 24,391 12,112 1649.47-5.17% -3.81% -5.17% -11.31% -4.66% 3.43% 28.37 2.83 上证移动 50 12,101 6,394 2043.03-5.45% -4.54% -5.45% -10.07% -7.13% -9.85% 24.93 2.55 环保 50 50 17,522 8,350 1924.92-5.54% -3.47% -5.54% -7.54% 10.96% -- 27.32 3.02 智能交通 50 12,824 6,651 2519.77-5.58% -5.18% -5.58% -8.86% 9.55% 16.64% 39.02 3.93 智能资产 180 23,954 13,697 9288.57-5.66% -4.64% -5.66% -12.13% -13.71% 21.93% 31.23 3.66 CS 能源互 45 8,572 5,078 1651.88-5.68% -3.52% -5.68% -8.85% -1.52% -- 30.13 3.04 信息安全 100 13,586 8,083 1525.6-5.82% -6.08% -5.82% -7.46% -6.47% -- 45.41 3.62 中证军工 60 8,935 4,487 8235.71-5.82% -4.16% -5.82% -11.25% -26.21% -20.53% 69.41 2.79 CS 电子 100 24,500 12,546 5872.74-6.00% -4.76% -6.00% -11.74% 12.78% -- 41.47 3.82 CS 新能车 51 9,987 5,614 2115.72-6.01% -2.65% -6.01% -15.89% -0.91% 25.56% 36.60 3.88 工业 4.0 25 11,357 6,447 2325-6.02% -5.29% -6.02% -13.75% -5.55% -- 60.58 4.64 移动互联 100 32,484 17,154 2363.43-6.06% -4.59% -6.06% -11.87% 0.61% -0.55% 40.91 4.00 中证国防 34 5,554 2,708 1210.43-6.06% -3.86% -6.06% -11.75% -28.83% -24.06% 64.12 3.01 军工信息 150 21,165 11,740 2173.52-6.08% -5.54% -6.08% -11.68% -21.52% -- 52.12 3.19 CS 稀金属 17 4,332 1,884 1459.64-6.18% -2.17% -6.18% -14.54% 28.60% -- 114.86 4.67 中证高新 100 13,093 7,745 1531.91-6.37% -5.75% -6.37% -10.11% -13.12% 13.01% 60.95 4.38 中证安全 100 15,431 7,717 2643.78-6.60% -4.72% -6.60% -10.04% 1.20% 22.01% 37.88 4.10 智能家居 100 37,116 21,053 2609.33-6.68% -5.11% -6.68% -11.45% -6.67% 6.30% 36.06 3.86 中证高装 200 45,819 23,135 4803.47-6.92% -4.57% -6.92% -11.12% -1.48% -- 39.91 2.99 中证安防 34 6,766 3,160 2352.49-7.32% -4.69% -7.32% -15.92% -10.59% -- 37.73 5.66 沪智家居 49 7,527 3,859 2561.97-7.79% -5.62% -7.79% -11.37% -14.23% -3.93% 25.11 3.02 沪智交通 18 2,479 1,410 1605.1-7.81% -4.93% -7.81% -13.71% -22.91% -18.83% 23.20 2.44 稀土产业 31 5,775 3,152 1476.52-8.88% -4.24% -8.88% -11.92% -1.73% -- 76.91 2.86 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 180 价值 4659.06 10.22% -1.21% 10.22% 12.45% 30.87% 41.47% 12.06% 11.16% 2.54 0.28 0.73 300 价值 5575.00 10.10% -1.61% 10.10% 13.47% 40.42% 53.93% 13.43% 11.54% 3.28 0.37 0.66 800 价值 6436.10 8.79% -1.88% 8.79% 11.21% 34.84% 45.77% 12.12% 10.69% 3.02 0.31 0.44 180R 价值 3393.98 8.55% -1.74% 8.55% 8.63% 22.33% 25.07% 10.54% 10.02% 1.98 0.19 0.38 全指价值 4631.15 8.40% -1.38% 8.40% 10.68% 30.49% 41.39% 10.70% 10.08% 2.78 0.27 0.54 300R 价值 4580.47 8.25% -2.20% 8.25% 9.49% 30.77% 35.40% 11.46% 10.51% 2.69 0.27 0.40 180 成长 3652.59 7.88% -1.71% 7.88% 11.49% 32.22% 37.04% 12.96% 11.15% 2.67 0.28 0.39 全指成长 4193.72 6.91% -1.70% 6.91% 10.05% 31.81% 37.38% 12.24% 10.49% 2.79 0.28 0.40 全 R 价值 4003.02 6.63% -1.92% 6.63% 6.47% 19.33% 23.86% 9.45% 9.55% 1.76 0.16 0.25 800R 价值 5371.30 6.58% -2.27% 6.58% 6.76% 23.71% 30.18% 10.45% 10.14% 2.09 0.20 0.26 300 成长 4773.93 6.31% -1.67% 6.31% 9.35% 33.71% 37.68% 12.99% 11.68% 2.67 0.30 0.43 180R 成长 2263.33 5.38% -2.19% 5.38% 6.88% 26.88% 16.02% 12.57% 10.46% 2.33 0.23 0.26 500 价值 9328.83 4.50% -1.93% 4.50% 3.62% 11.97% 34.34% 14.95% 14.67% 0.65 0.07 0.08 800 成长 5240.66 4.39% -2.39% 4.39% 5.74% 28.71% 33.22% 12.60% 11.12% 2.36 0.24 0.27 380 价值 8689.02 3.87% -1.92% 3.87% 3.24% 11.35% 26.06% 16.16% 14.42% 0.61 0.07 0.07 全 R 成长 3046.90 2.97% -2.69% 2.97% 2.05% 15.06% 10.40% 11.98% 10.30% 1.22 0.11 0.12 300R 成长 3610.75 2.85% -2.73% 2.85% 2.47% 19.36% 10.78% 12.51% 11.21% 1.50 0.15 0.16 380R 价值 6768.74 0.94% -2.56% 0.94% -1.41% 2.58% 15.61% 14.57% 14.05% 0.01-0.02 0.00 500R 价值 7107.39 0.72% -2.71% 0.72% -2.94% 0.37% 14.25% 13.51% 14.68% -0.15-0.04-0.02 800R 成长 3906.73 0.52% -3.06% 0.52% -1.97% 10.37% 8.21% 12.49% 11.69% 0.67 0.06 0.07 380 成长 5848.85-0.06% -2.86% -0.06% -2.02% 5.59% 11.50% 14.45% 13.78% 0.22 0.01 0.02 500 成长 7192.03-0.68% -2.86% -0.68% -5.49% 7.78% 19.88% 15.15% 14.01% 0.38 0.03 0.04 380R 成长 4516.92-2.52% -3.64% -2.52% -6.05% -2.95% 3.31% 13.99% 13.87% -0.39-0.08-0.04 500R 成长 5634.02-2.58% -3.36% -2.58% -8.14% -1.46% 6.02% 14.82% 14.50% -0.27-0.06-0.03 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 沪金融红 7286.88 75,914 22,068 2,357 16.40% -1.21% 16.40% 18.11% 30.92% 41.60% 3.10% 3.10% 金融红利 9085.44 84,468 26,102 2,540 15.80% -1.75% 15.80% 16.85% 30.23% 50.98% 3.01% 3.01% 沪能源红 6359.39 26,016 2,005 926 13.73% -1.72% 13.73% 17.48% 17.97% 14.65% 3.56% 3.56% 红利潜力 9626.50 75,838 27,253 1,925 10.81% -2.29% 10.81% 17.36% 71.00% 128.99% 2.59% 2.54% 央企红利 3205.94 91,756 23,007 3,249 10.58% -1.31% 10.58% 12.14% 23.11% 18.11% 3.54% 3.54% 高分红 5257.94 134,823 48,202 4,360 10.30% -1.40% 10.30% 11.59% 28.55% 41.15% 3.23% 3.23% 上央红利 2237.58 90,954 22,038 3,214 9.70% -1.39% 9.70% 9.27% 19.48% 16.47% 3.53% 3.53% 300 红利 6544.51 126,507 43,756 4,218 9.36% -2.15% 9.36% 12.02% 36.69% 51.65% 3.33% 3.33% 红利价值 8872.76 63,821 33,162 1,825 8.82% -1.75% 8.82% 8.09% 20.62% 35.70% 2.86% 2.86% 180 红利 4235.85 99,650 28,812 3,623 8.51% -2.10% 8.51% 11.15% 29.06% 32.33% 3.64% 3.64% 国企红利 1889.40 113,778 35,588 3,936 8.24% -2.06% 8.24% 9.16% 27.98% 38.95% 3.46% 3.46% 上国红利 1426.84 91,251 22,265 3,437 8.15% -1.35% 8.15% 9.85% 24.81% 26.33% 3.77% 3.77% 红利指数 3217.72 109,058 32,681 3,871 7.47% -1.88% 7.47% 7.69% 20.51% 30.13% 3.55% 3.55% 沪消费红 21568.15 15,322 7,139 179 7.41% -2.55% 7.41% 8.33% 50.81% 95.60% 1.17% 1.17% 上红价值 7536.51 60,236 31,425 1,717 7.01% -1.80% 7.01% 7.11% 19.57% 26.48% 2.85% 2.85% 中证红利 5071.81 145,800 51,748 4,631 6.76% -2.28% 6.76% 6.38% 21.98% 46.89% 3.21% 3.18% 红利低波 9642.89 73,680 37,249 1,871 6.49% -2.13% 6.49% 5.84% 23.74% 41.76% 2.59% 2.54% 消费红利 24819.94 26,922 12,497 398 5.89% -2.66% 5.89% 8.00% 38.43% 90.33% 1.48% 1.48% 上红潜力 5975.31 61,364 18,124 1,774 5.81% -1.42% 5.81% 9.85% 42.13% 55.61% 2.89% 2.89% 上红低波 8385.52 67,924 34,371 1,722 5.60% -2.24% 5.60% 4.23% 21.80% 31.07% 2.54% 2.54% 红利回报 6599.27 46,343 21,952 1,004 5.49% -2.89% 5.49% 9.11% 38.10% 59.55% 2.21% 2.16% 沪材料红 5872.23 8,558 4,410 174 5.36% -1.07% 5.36% 9.70% 28.67% 56.78% 2.04% 2.04% 能源红利 4387.47 27,742 2,469 965 5.27% -1.71% 5.27% 3.07% 1.14% -1.54% 3.48% 3.48% 可选红利 15592.57 18,016 10,119 563 4.92% -1.60% 4.92% 4.55% 23.48% 78.64% 3.23% 3.13% 材料红利 7002.16 9,955 5,124 212 4.60% -1.27% 4.60% 4.01% 17.90% 56.65% 2.13% 2.13% 民企红利 3899.63 14,718 9,164 389 4.39% -2.31% 4.39% 4.02% 12.46% 70.24% 2.73% 2.64% 上红回报 5798.94 43,333 18,083 1,095 3.95% -2.78% 3.95% 6.01% 30.75% 46.57% 2.53% 2.53% 工业红利 8406.91 18,368 6,787 370 3.31% -2.45% 3.31% -0.33% 8.57% 24.33% 2.02% 2.02% 20/25
沪工业红 7566.45 11,938 4,237 253 3.13% -2.70% 3.13% -2.29% 7.69% 19.29% 2.12% 2.12% 上民红利 2918.07 12,013 6,502 308 3.05% -2.60% 3.05% 10.22% 17.78% 35.46% 2.56% 2.56% 沪可选红 12133.16 10,212 4,152 376 2.65% -1.62% 2.65% 0.35% 13.71% 43.11% 3.68% 3.68% 500 红利 8995.33 8,841 4,518 205 1.75% -2.66% 1.75% -2.21% 1.76% 28.67% 2.36% 2.31% 380 红利 8947.92 6,564 2,496 210 1.73% -1.92% 1.73% -0.29% 7.89% 33.52% 3.20% 3.20% 沪公用红 3473.09 7,529 2,687 310 1.38% -1.39% 1.38% -3.14% -5.70% -19.36% 4.12% 4.12% 沪医药红 8040.78 2,485 1,362 41-0.03% -2.37% -0.03% -4.59% 7.46% 19.10% 1.64% 1.64% 医药红利 14999.99 6,656 3,562 90-0.45% -1.85% -0.45% -1.89% 4.82% 58.46% 1.39% 1.34% 公用红利 3070.43 8,465 3,093 341-0.93% -3.20% -0.93% -6.03% -9.75% -18.70% 4.02% 4.02% 电信红利 8283.49 2,175 1,294 16-5.01% -5.62% -5.01% -10.27% -1.96% 50.99% 0.79% 0.75% 信息红利 19589.14 8,918 4,553 108-6.20% -5.11% -6.20% -11.42% 16.14% 83.15% 1.21% 1.21% 沪信息红 10560.28 2,462 1,237 36-9.07% -6.19% -9.07% -9.95% 15.73% 35.36% 1.48% 1.48% 沪电信红 7732.37 793 476 8-10.47% -7.24% -10.47% -24.74% -13.44% 28.76% 1.03% 1.03% 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 50 两倍 1626.55 18.06% -3.61% 18.06% 22.40% 64.05% -- 24.38% 22.63% 2.72 0.60 0.58 180 两倍 4637.35 14.34% -3.91% 14.34% 14.63% 46.26% 4.13% 20.25% 19.21% 2.28 0.41 0.31 300 日报酬两倍 3307.72 12.39% -4.80% 12.39% 13.34% 57.55% 26.15% 21.86% 20.45% 2.69 0.52 0.33 300 两倍 2109.71 11.94% -4.86% 11.94% 12.09% 50.68% 9.91% 21.85% 20.43% 2.36 0.45 0.29 富国多空 36572.90 11.70% -1.19% 11.70% 16.54% 53.86% 122.61% 12.92% 12.62% 4.07 0.50 0.57 银河 99 7634.88 10.52% -2.08% 10.52% 12.97% 33.65% 49.19% 13.68% 11.25% 2.77 0.30 0.53 光大阳光 7262.31 10.30% -1.49% 10.30% 15.67% 55.05% 71.86% 17.06% 13.57% 3.87 0.51 0.62 50 基本 3421.85 10.27% -1.89% 10.27% 11.58% 27.98% 39.61% 12.81% 11.00% 2.32 0.25 0.56 100 动态 3341.34 9.33% -2.08% 9.33% 9.07% 23.07% -0.57% 15.43% 12.80% 1.61 0.19 0.29 财富大盘 5739.54 8.80% -1.95% 8.80% 9.99% 28.27% 47.28% 11.29% 10.02% 2.57 0.25 0.39 21/25
180 基本 12505.00 8.78% -1.95% 8.78% 9.28% 23.92% 37.05% 10.94% 9.77% 2.19 0.20 0.38 金融等权 5619.56 8.60% -1.55% 8.60% 7.95% 20.82% 14.89% 14.41% 13.05% 1.40 0.18 0.73 100 稳定 4929.41 8.42% -2.27% 8.42% 12.39% 45.37% 72.47% 12.84% 11.83% 3.63 0.42 0.58 50 等权 2719.04 8.19% -2.13% 8.19% 7.67% 16.65% 15.93% 11.48% 9.81% 1.44 0.13 0.21 180 动态 7529.50 7.78% -1.70% 7.78% 4.90% 8.40% -5.37% 11.91% 11.67% 0.51 0.05 0.08 180 动量 3401.01 7.49% -1.44% 7.49% 12.08% 40.84% 19.76% 13.37% 11.81% 3.25 0.37 0.66 180 稳定 10872.60 6.82% -2.07% 6.82% 9.10% 31.94% 43.95% 10.27% 10.16% 2.90 0.28 0.44 300 动态 3293.72 6.16% -2.69% 6.16% 4.14% 8.38% -8.61% 12.43% 12.23% 0.48 0.04 0.06 300 动量 4339.40 6.13% -1.89% 6.13% 9.95% 40.71% 20.46% 15.12% 12.48% 3.06 0.37 0.51 300 稳定 4843.58 6.02% -2.20% 6.02% 8.07% 36.11% 53.61% 10.58% 10.72% 3.14 0.32 0.44 180 高贝 6916.84 5.82% -2.13% 5.82% -0.40% 2.02% 1.73% 12.19% 12.52% -0.04-0.02-0.01 800 动量 3906.91 5.69% -2.18% 5.69% 7.42% 33.63% 20.12% 12.83% 11.29% 2.76 0.30 0.36 小康指数 6118.09 5.67% -1.80% 5.67% 5.16% 17.89% 30.32% 10.55% 9.84% 1.56 0.14 0.21 等权 90 3273.86 5.46% -2.88% 5.46% 3.20% 17.65% 18.02% 11.56% 10.75% 1.41 0.13 0.16 180 波动 14094.22 5.45% -2.51% 5.45% 2.97% 18.61% 28.57% 9.64% 8.51% 1.89 0.15 0.21 180ERC 4907.53 5.38% -2.23% 5.38% 2.78% 14.64% -- 9.59% 8.52% 1.42 0.11 0.15 300 高贝 2962.89 4.84% -3.15% 4.84% 0.10% 0.31% -3.16% 14.22% 14.32% -0.15-0.04-0.02 300 波动 7616.91 4.79% -2.34% 4.79% 2.57% 23.17% 42.72% 8.75% 8.50% 2.43 0.19 0.28 能源等权 2787.65 4.69% -1.12% 4.69% 2.66% 1.09% -4.69% 21.58% 20.32% -0.07-0.03-0.02 180 等权 9423.23 4.62% -2.38% 4.62% 0.34% 7.24% 8.90% 10.93% 9.70% 0.49 0.03 0.05 300ERC 5080.33 4.61% -2.38% 4.61% 2.71% 15.47% 19.41% 9.36% 9.01% 1.44 0.12 0.16 中证龙头 4636.77 4.44% -2.84% 4.44% 5.28% 24.61% 32.37% 10.30% 9.83% 2.25 0.21 0.25 CS 娱乐 2076.58 4.22% -2.12% 4.22% -3.06% -6.80% -- 12.66% 14.33% -0.65-0.11-0.11 淘金 100 11576.41 4.08% -1.90% 4.08% 5.19% 18.99% 130.66% 13.82% 14.69% 1.12 0.15 0.15 安中动态 1208.47 3.79% -2.49% 3.79% 2.36% 25.62% 31.33% 13.32% 11.12% 2.08 0.21 0.24 央视 500 1356.30 3.67% -2.56% 3.67% 3.38% 22.79% 27.19% 10.59% 10.24% 1.98 0.19 0.22 180 分层 10896.60 3.44% -2.26% 3.44% -0.13% 9.11% 11.12% 10.97% 9.74% 0.68 0.05 0.07 300 等权 4450.12 3.24% -2.86% 3.24% 0.35% 9.29% 10.44% 11.15% 10.63% 0.64 0.05 0.07 300 分层 5200.61 3.20% -2.60% 3.20% 1.32% 13.55% 16.61% 10.68% 10.36% 1.07 0.09 0.11 材料等权 3485.00 3.03% -2.38% 3.03% 1.55% 16.29% 21.18% 18.59% 19.00% 0.73 0.12 0.12 消费等权 6713.98 2.82% -2.27% 2.82% 1.77% 20.94% 32.44% 16.83% 16.19% 1.14 0.17 0.17 300SER 5711.42 2.78% -2.68% 2.78% 0.93% 17.72% 22.34% 10.91% 9.76% 1.56 0.13 0.15 300 低贝 6057.47 2.34% -2.57% 2.34% 2.02% 21.03% 39.47% 8.89% 8.07% 2.30 0.17 0.26 创业价值 2093.73 2.28% -1.38% 2.28% 2.02% 11.12% 40.90% 16.09% 14.85% 0.58 0.07 0.08 180 低贝 10581.59 2.25% -3.02% 2.25% 0.46% 15.75% 28.03% 11.97% 8.42% 1.57 0.12 0.14 22/25
腾讯济安 2539.86 2.00% -1.80% 2.00% -1.51% 4.05% 44.07% 13.35% 13.01% 0.12 0.00 0.02 百发 100 13258.80 1.64% -2.79% 1.64% 3.34% 6.41% 23.27% 15.10% 16.12% 0.24 0.02 0.03 500 低贝 10735.94 1.60% -2.18% 1.60% -0.57% 4.88% 33.02% 10.62% 11.73% 0.20 0.01 0.03 500 反两 144.08 1.33% 6.19% 1.33% 9.78% -6.66% -- 27.68% 28.73% -0.32-0.05 0.04 转型成长 31369.58 1.18% -2.02% 1.18% -3.38% -0.15% 93.90% 14.90% 16.11% -0.16-0.05-0.02 工业等权 3068.48 1.09% -2.78% 1.09% -3.30% -1.38% -0.77% 12.92% 12.41% -0.31-0.06-0.04 500 反向 1224.99 0.95% 3.10% 0.95% 5.69% -0.17% -- 13.84% 14.36% -0.19-0.01 0.02 380 基本 7104.64 0.83% -2.46% 0.83% -2.25% 2.31% 16.71% 13.18% 14.06% -0.01-0.02 0.00 500 波动 11820.32 0.73% -2.45% 0.73% -2.67% 2.25% 32.22% 11.08% 12.06% -0.02-0.02 0.00 200 动态 3033.55 0.64% -3.06% 0.64% -1.91% -0.71% -14.25% 14.09% 13.93% -0.23-0.05-0.03 200 稳定 6138.64 0.52% -2.72% 0.52% -1.74% 13.59% 23.97% 11.33% 11.58% 0.96 0.09 0.11 800 等权 6095.50 0.50% -3.03% 0.50% -3.87% 1.14% 12.52% 12.21% 12.74% -0.11-0.03-0.01 CS 医药 11031.26-0.02% -2.57% -0.02% -2.26% 1.28% -- 13.51% 13.60% -0.09-0.03-0.01 380 波动 10044.23-0.03% -2.03% -0.03% -3.49% 1.41% 29.12% 10.66% 11.82% -0.09-0.03-0.01 380 低贝 6050.45-0.16% -2.09% -0.16% -2.15% 3.69% 22.75% 9.83% 10.69% 0.11 0.00 0.01 500SER 8327.47-0.21% -2.75% -0.21% -3.50% 1.72% 23.96% 11.88% 13.57% -0.06-0.03-0.01 500ERC 7942.94-0.44% -2.77% -0.44% -5.14% -0.55% 21.50% 12.21% 13.60% -0.22-0.05-0.03 380 稳定 6926.63-0.59% -2.76% -0.59% -2.20% 6.34% 23.42% 12.70% 12.98% 0.30 0.02 0.03 500 稳定 8916.39-0.70% -2.85% -0.70% -3.92% 2.61% 24.52% 12.41% 13.18% 0.01-0.02 0.00 380 动量 5738.42-0.74% -3.55% -0.74% -0.64% 10.05% -0.34% 16.26% 14.43% 0.52 0.05 0.05 380 动态 4122.56-0.84% -3.41% -0.84% -5.30% -7.88% -4.69% 15.99% 15.51% -0.67-0.13-0.07 380ERC 8915.80-1.11% -2.78% -1.11% -5.63% -3.34% -- 12.24% 13.28% -0.44-0.08-0.05 沪财中小 9461.93-1.11% -3.00% -1.11% -6.98% -6.71% 17.97% 14.49% 15.36% -0.60-0.11-0.08 500 等权 7358.59-1.14% -3.13% -1.14% -6.35% -3.56% 13.21% 13.56% 14.62% -0.41-0.08-0.05 500 动态 4334.38-1.27% -3.24% -1.27% -7.43% -3.68% -2.66% 16.08% 16.15% -0.38-0.08-0.05 可选等权 3078.21-1.38% -3.37% -1.38% -6.72% -6.38% 6.59% 11.48% 10.97% -0.81-0.11-0.09 380 等权 7242.99-1.43% -3.10% -1.43% -6.35% -6.30% 9.46% 13.70% 14.40% -0.61-0.11-0.07 电信等权 2870.53-1.60% -4.96% -1.60% -9.20% -3.45% 39.87% 21.34% 18.47% -0.32-0.09-0.04 医药等权 8422.40-1.85% -2.61% -1.85% -3.50% 3.54% 25.64% 12.98% 12.00% 0.09-0.01 0.01 公用等权 2140.44-2.28% -3.02% -2.28% -7.10% -13.88% -21.47% 10.29% 12.36% -1.33-0.18-0.23 500 两倍 3649.65-2.52% -6.10% -2.52% -12.54% -7.43% -- 27.69% 28.71% -0.35-0.14-0.04 380 高贝 5001.82-3.20% -3.98% -3.20% -10.35% -15.08% -8.50% 18.82% 18.50% -0.95-0.20-0.12 创业成长 1376.64-3.96% -2.57% -3.96% -11.52% 4.23% 16.48% 15.08% 14.47% 0.12 0.00 0.02 500 高贝 4435.49-4.49% -4.52% -4.49% -8.78% -9.24% -0.81% 19.08% 18.11% -0.65-0.14-0.08 300 反向 1640.25-5.73% 2.44% -5.73% -6.42% -20.53% -30.96% 10.93% 10.22% -2.25-0.22 0.27 23/25
300 日报酬反向 1358.70-5.85% 2.42% -5.85% -6.74% -21.63% -34.10% 10.93% 10.22% -2.36-0.23 0.29 180 反向 3942.77-6.71% 1.94% -6.71% -7.36% -19.19% -28.57% 10.13% 9.61% -2.26-0.20 0.31 信息等权 4125.58-7.39% -5.20% -7.39% -12.29% -14.96% -15.43% 19.83% 18.67% -0.94-0.20-0.12 50 反向 1382.70-8.27% 1.75% -8.27% -10.56% -24.12% -- 12.19% 11.31% -2.35-0.26 0.50 300 反两 351.89-11.60% 4.82% -11.60% -13.80% -40.27% -65.76% 21.87% 20.46% -2.09-0.40 0.25 180 反两 870.58-13.42% 3.82% -13.42% -15.47% -38.15% -63.18% 20.27% 19.24% -2.11-0.38 0.29 50 反两 292.94-16.33% 3.41% -16.33% -21.35% -45.68% -- 24.41% 22.65% -2.13-0.46 0.46 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 4917.42 10.85% -1.97% 10.85% 13.42% 34.96% 61.54% 13.85% 11.21% 2.90 0.32 0.64 基本 300 6530.30 8.98% -1.83% 8.98% 11.20% 30.29% 53.13% 11.32% 10.08% 2.76 0.27 0.42 基本 200 5372.09 8.76% -1.97% 8.76% 10.10% 28.29% 48.46% 11.16% 10.06% 2.56 0.25 0.41 上证 F200 5123.23 8.44% -1.77% 8.44% 9.20% 23.51% 40.61% 10.22% 9.53% 2.21 0.20 0.37 基本 600 5971.62 7.37% -2.14% 7.37% 7.62% 23.60% 42.84% 10.29% 9.75% 2.17 0.20 0.28 上证 F500 5638.35 7.31% -1.93% 7.31% 7.19% 19.89% 36.53% 9.73% 9.21% 1.89 0.16 0.27 基本 400 7137.93 1.87% -2.83% 1.87% -1.87% 5.78% 19.36% 14.17% 14.16% 0.23 0.01 0.03 上证 F300 7278.60-0.66% -3.15% -0.66% -6.20% -3.26% 9.55% 14.89% 14.49% -0.40-0.08-0.04 基本 500 7189.50-1.88% -3.27% -1.88% -9.01% -7.55% 10.82% 14.62% 14.61% -0.69-0.12-0.08 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