定期分析报告 中证指数 2 月份运行报告 目录 2 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 2 月份市场概要 2 月份国际主要股指表现总体向好, 除日经 225 外, 其余国际主要指数月内皆收涨 美国当地时间 28 号, 特朗普在国会发布首次演讲, 呼吁国会支持万亿美元的基建计划, 同时表示正计划制定为公司和美国中产阶级大规模减税方案 月内, 标普 500 指数再度创下历史新高, 连续第四个月上涨, 月内最高触及 2371.54 点, 全月上涨 2.92% 日经 225 指数本月下跌 1.46%, 结束 4 个月连涨局势 STOXX 欧洲 600 上涨 0.75% 香港 100 指数上涨 1.45% 2 月份沪深市场全面上涨 2 月份制造业 PMI 为 51.6%, 连续 5 个月保持在 51% 以上, 非制造业商务活动指数 54.2%, 连续 5 个月保持在 54% 及以上的较高景气区域, 制造业保持稳中向好的态势 ; 全国证券期货监管工作会议召开, 强调将防风险放在更加突出位置, 深化依法全面从严监管, 稳步推进多层次资本市场体系建设 ; 保本基金更名为避险策略基金, 取消连带责任担保方式, 规避潜在风险 ; 股指期货受限后首次松绑, 日内开仓限制适度放开, 交易手续费同步下调 ; 关于规范金融机构资产管理业务的指导意见 ( 征求意见稿 ) 正式起草, 混业发展 分业监管的格局或将改变 上证综指实现五连涨, 修复去年双 12 跌幅, 站上 3200 点, 收至 3241.73, 全月上涨 2.61% 当月上海市场日均成交金额 2077.915 亿元, 环比增加 25.2% 沪深 A 股规模指数中, 大中小盘指数皆以上涨报收 小盘指数中证 1000 涨幅最大, 当月涨幅达 3.68%, 其次为中证 500(3.65%) 和中证 200(3.27%), 沪深 300 指数月内上涨 1.91% 创业板全月上涨 2.17%, 中小板指全月上涨 4.48% 2 月份主题及行业指数基本实现全线收涨, 中证水泥以 13.5% 的涨幅居于首位 涨幅超过 10% 的指数还包括中证 800 食品与零售指数 (12.8%) 和中证西部发展主题指数 (10.6%) 受 PPP 政策影响, 中证基建 基建工程 上证基建等多条基建指数涨幅居前 ; 中证保险与中证 800 保险指数分别下跌 2.12% 和 1.87%, 跌幅居前 图 1: 全球主要股指走势 6% STOXX 欧洲 600 标普 500 日经 225 沪深 300 中证香港 100 3% 0% -3% 1 / 25
定期分析报告 A 股主主要指数数表现 2 月份沪深市市场全面上涨涨 2 月份制制造业 PMI 为 51.6%, 连续 5 个月月保持在 51% 以上, 非制造业商务活动动指数 54.2%, 连续 5 个月保持持在 54% 及以上的较高高景气区域, 制造业保持稳中向好的态态势 ; 全国证券期货监监管工作会会议召开, 强调将防风风险放在更加突出位置, 深化依法全面面从严监管, 稳步推进进多层次资资本市场体系系建设 ; 保本基金更名为避险策略基金, 取消连连带责任担担保方式, 规避潜在风风险 ; 股指期期货受限后后首次松绑, 日内开仓限制适度放开, 交易手续续费同步下调 ; 关于于规范金融机机构资产管管理业务的指导意见 ( 征求意见稿 ) 正式起草, 混业发展展 分业监监管的格局或或将改变 上证综指实现五连涨, 修复去年双 12 跌幅, 站上 3200 点, 收至 3241.73, 全月上涨 2.61% 当月上海市场日均成交金额 2077.915 亿元, 环比增加 25.2% 沪深 A 股规模模指数中, 大中小盘指指数皆以上上涨报收 小小盘指数中中证 1000 涨幅最大, 当月涨幅达 3.68% %, 其他指数数按涨跌降序序排列分别别为, 中证 500(3.65%) ) 中证 200( (3.27%) 中证全指 (2.85%) 中证 800(2.42% %) 沪深 300(1.91%) 以及中中证 100( 1.15%) 上海市场中, 主要要规模指数全全部上行, 潜力蓝筹指指数上证 380 上涨 3.60%, 居于于首位, 其次为上证综指 (2.61%) 和上上证全指 ( 1.95%), 上证 180 指数月内上上涨 1.19% 创业板震荡上行, 报收 1927.16 点, 全月上涨 2.17%; 中小小板指全月上涨 4.48% %, 报收 6625.6 点 图 2: 全市场场主要指数涨涨幅 图 3: 上海市场场主要指数数涨幅 4.0% 3.5% 3.0% 2.5% 2.0% 1.91% 2.42% 2.85% 3.27% 3.65% 3.68% 4.0% 3.5% 3.0% 2.5% 2.0% 1.95% 2. 61% 3.60% 1.5% 1.15% 1.5% 1.0% 0.5% 1.0% 0.5% 0.28% 0.42% 1.19% 0.0% 0.0% 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 5.0% 4.5% 4.38% 4.48% 4.0% 3.5% 3.34% 3.38% 3.0% 2.5% 2.17% 2.0% 1.5% 1.0% 0.5% 0.0% 2 / 25
沪深 300 指数数分析 定期分析报告 2 月份沪深 300 指数震荡荡上行, 从上上月末 3387.96 点攀升升至 3452.81 点, 高点为 3492.96 点, 月涨幅 1.91% 2 月份沪沪深 300 指数日均成交 1019.7 亿元, 环比上上涨 22.8% 2 月末沪深 300 指数滚动动市盈率为 13.58 倍, 与上月末 13.35 倍水平基本持平平 图 6: 沪深 300 指数走势 成交金额 ( 亿元, 右 ) 收盘价 ( 左 ) 3500 3480 3460 3440 3420 3400 3380 3360 3340 3320 3300 2017-02-03 2017-02-08 2017-02-13 2017-02-16 2017-02-21 2017-02-24 1600 1400 1200 1000 8000 6000 4000 2000 0 除能源行业指指数下跌 1. 24% 外, 其余 9 条一级级行业指数数全部上涨, 其中电信信业务 可选消费和主要消费费行业分别上涨 4.70% 4.54% 4.21%, 涨幅领先 其次为工业 原材料 信息息技术 医医药卫生和公公用事业等等行业, 均上上涨超过 1% 金融地地产行业涨幅相对较低, 上涨 0.55% 图 7: 沪深 300 行业指数涨跌 图 8: 沪深 300 行业权重分分布 沪深 300 指数数中, 权重排名前三的的行业分别为金融地产产 工业 可选消费, 月末权重分别为 40.0% 16.55% 11.45%, 累计权重 68.0% 电信信业务 能源源行业权重较低, 分 3 / 25
别为 1. 59% 和 2.48% 定期分析报告 2 月末沪深 300 指数滚动动市盈率为 13.58 倍, 市净率为 1.76 倍 从从行业来看, 信息技术行业市盈率最高, 滚动市盈率为 37. 12, 与上月 36.17 倍水水平略有上上升 金融地产行业估值水平最低, 滚动市盈率为 8.48 倍, 市净率为 1.32 倍 图 9: 沪深 300 行业业市盈率 图 10: : 沪深 3000 行业市净率 沪深 300 指数数权重股中, 中国平安安 兴业银银行 民生银行位列前前三大权重股, 权重 分别为 4.08% 2..32% 和 2.22% 招商银行权重位位列第四, 为 2.08%, 贵州茅台 交通银 行 浦发发银行位列 5 6 7 位, 权重为 1.85% 1.78% 和 1.49%, 前 10 大权重股权重合计 20.14% 2 月份对沪深 300 影响最最大的 10 只股票中, 贡献居前股票分别为为美的集团 格力电器和中信国安, 分别贡献 3. 17 点 2.87 点和 2.48 点, 前 10 只股票合合计贡献 21..37 点 图 11: 沪深 300 前 10 大权重股 图 12: : 影响最大大的 10 只股股票 ( 单位 : 点 ) 4 / 25
定期分析报告 主题及行业指数表现 2 月份主题及行业指数基本实现全线收涨, 中证水泥以 13.5% 的涨幅居于首位 涨幅 超过 10% 的指数还包括中证 800 食品与零售指数 (12.8%) 和中证西部主题指数 (10.6%) 中旬, 上交所和深交所分别发布 关于推进传统基础设施领域政府和社会资本合作 (PPP) 项目资产证券化的通知, 基金业协会也同时发布 关于 PPP 项目资产证券化产品实施专人专岗备案的通知,PPP 资产证券化深入推进,PPP 项目加速落地, 受此影响, 多条基建指数涨幅居前, 中证基建 基建工程 上证基建涨幅分别为 6.6% 5.9% 与 5.7% 落后的指数中也仅有 11 条指数为负涨幅, 两条保险指数 中证保险与 800 保险, 涨幅居于末尾, 分别为 -2.12% 和 -1.87% 在落后的指数中, 金融行业指数居多, 除了两条指数之外, 上证金融 中证证券保险指数 300 非银 180 金融 中证 800 证券保险指数 上证证券 内地金融涨幅分别为 -0.06% -0.04% 0.04% 0.12% 0.12% 0.35% 0.38% 图 13: 走势领先的 20 条指数 16% 14% 12% 10% 8% 6% 4% 2% 0% 13.5% 12.8% 10.6% 9.0% 8.0% 7.5% 6.3% 5.9% 5.4% 5.3% 5.0% 6.0% 6.6% 5.8% 5.9% 5.8% 5.7% 5.3% 5.1% 4.8% 图 14: 走势落后的 20 条指数 1.0% 0.5% 0.0% -0.5% -1.0% -1.5% -2.0% -2.5% -1.87% -2.12% -0.96% -1.24% -0.41% -0.24% -0.06% 0.29% 0.38% 0.12% 0.35% -0.44% -0.41% -0.04% 0.05% 0.20% 0.38% -0.25% 0.04% 0.12% 5 / 25
定期分析报告 策略指数表现 2 月风格指数全线收涨, 价值指数与成长指数并驾齐驱 中证 500 成长 上证 380 价值 中证 500 价值 上证 380 成长指数涨幅皆在 3% 以上, 分别为 3.58% 3.45% 3.11% 3.05% 上证 180 成长与上证全指增长指数涨幅落后, 涨幅分别为 0.33% 0.97% 基本面指数中, 上证基本面 300 与中证基本面 400 指数涨幅超过 4%, 分别为 4.18% 4.04%, 中证基本面 50 与上证基本面 200 指数较为落后, 涨幅分别为 1.36% 和 1.61% 图 15: 风格指数系列市场表现 中证 500 成长 380 价值中证 500 价值 380 成长中证 800 价值沪深 300 价值中证 800 成长全指价值沪深 300 成长 180 价值全指成长 180 成长 0.33% 1.85% 1.81% 1.64% 1.28% 1.08% 1.04% 0.97% 3.58% 3.45% 3.11% 3.05% 0% 1% 2% 3% 4% 图 16: 基本面指数系列市场表现 上证 F300 4.18% 基本 400 4.04% 基本 600 2.35% 基本 200 1.94% 上证 F500 1.94% 上证 F200 1.61% 基本面 50 1.36% 0% 1% 2% 3% 4% 5% 2 月份红利系列指数同样全线上行,500 红利 中证民企红利 中证红利指数涨幅居前, 分别上涨 4.13% 3.14% 和 2.83% 上红潜力 上证 180 红利指数涨幅居后, 分别为 0.29% 和 0.70% 股息率最高的仍为上证 180 红利 上证红利 沪深 300 红利 3 条指数, 分别为 3.97% 3.8% 和 3.76% 中小板板块与创业板板块股息率分别为 0.91% 0.36% 图 17: 红利指数系列与基准指数股息率对比 4.5% 4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% 3.97% 3.76% 3.80% 3.03% 3.28% 2.36% 2.80% 2.05% 2.14% 1.72% 1.00% 0.90% 0.36% 6 / 25
定期分析报告 2 月份波动率率加权指数系系列的波幅幅较上月有所所下降, 沪深 300 中中证 500 波动率加权指数波幅分别为 12.75% 19.16% 图 18: 波动率加权权指数系列列波幅 图 19: 波动率率加权指数数系列涨幅 2 月份高 低低贝塔指数齐齐齐上涨, 上证 180 上证 380 沪深 3000 中证 500 低贝塔指数涨幅分别为 1.06% 3.27% 1.97% 和 3.17% ; 上证 180 上证 380 沪深 300 中证 500 高贝贝塔指数涨涨跌幅分别为 3.93% 4.49% 3.62% 和 3.42% 图 20: 高低贝塔指指数系列贝贝塔值 图 21: 高低贝塔指指数系列涨涨幅 7 / 25
定期分析报告 商品期货指数表现 2 月商品期货指数表现参差不齐,9 条指数中,4 条上涨,5 条下跌, 中证贵金属期货成份指数一举扭转上月唯一下跌指数的局面, 强势反弹, 本月涨幅 5.71%, 居于首位 中证工业金属期货成份指数延续之前上涨趋势, 涨幅达 4.46% 中证化工材料期货成份指数 中证粮油期货成份指数 中证农产品期货成份指数与中证能源化工期货成份指数跌幅较为明显, 分别为 -3.31% -3.25% -2.71% -1.31% 图 22: 中证商品期货成份指数系列市场表现 7% 6% 5% 4% 3% 2% 1% 0% -1% -2% -3% -4% -3.31% -3.25% -2.71% -1.31% -0.29% 1.45% 2.73% 4.46% 5.71% 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 年波动率市盈率 市净率 股息率 沪深 300 3452.81 4.31% -0.61% 1.91% -2.41% 19.99% 58.46% 8.64% 14.01% 14.06 1.61 2.14% 300 金融 5670.66 3.24% -0.72% 0.55% -4.06% 16.60% 75.22% 8.61% 13.81% 8.61 1.17 3.28% 300 消费 8857.05 6.88% -1.60% 4.21% 4.15% 38.83% 74.19% 15.59% 17.71% 27.16 4.39 2.24% 300 能源 1829.63 5.07% -0.29% -1.24% 4.59% 18.88% 9.89% 11.86% 17.50% 31.28 1.24 1.14% 300 公用 1830.38 3.83% -0.90% 1.31% -0.65% 11.62% 58.53% 8.76% 12.66% 14.13 1.94 2.95% 300 可选 4926.88 6.25% 0.30% 4.54% -2.10% 21.42% 41.11% 10.87% 17.31% 18.78 2.54 2.19% 300 电信 2780.34-1.05% 0.06% 4.70% -2.00% 26.41% 59.29% 16.54% 20.86% 31.20 2.32 0.92% 300 工业 2623.26 5.04% -0.78% 2.93% -2.60% 23.23% 70.16% 12.40% 18.62% 22.58 2.06 1.15% 300 信息 1930.67 2.34% -0.66% 1.85% -7.32% 11.74% 22.73% 8.24% 20.35% 46.95 4.11 0.58% 300 医药 8171.60 2.51% -0.93% 1.44% -0.61% 25.81% 50.71% 8.70% 13.95% 34.28 4.47 0.77% 300 材料 2217.12 9.18% 0.05% 2.59% 4.77% 27.92% 53.11% 13.01% 20.13% 46.97 2.13 0.53% 中证 500 6450.97 2.99% -0.39% 3.65% -2.04% 20.57% 62.25% 9.61% 20.88% 42.47 2.95 0.62% 500 金地 5733.63 1.17% -0.66% 2.41% -2.99% 15.09% 101.14% 9.77% 21.30% 25.68 2.03 0.72% 500 消费 8367.02 3.38% -1.35% 4.34% 1.94% 24.81% 54.03% 12.33% 19.79% 34.84 3.49 0.92% 500 能源 4510.97 4.70% -0.33% 1.25% -1.80% 20.09% 27.38% 21.46% 27.16% 98.31 1.97 0.15% 500 公用 3942.97 1.37% 0.41% 4.21% -3.29% 14.92% 45.43% 7.46% 19.92% 21.88 2.13 1.49% 500 可选 5673.37 0.91% -0.29% 2.40% -1.96% 18.13% 64.65% 9.38% 19.95% 41.89 3.33 0.71% 500 电信 4691.61 2.47% -0.46% 3.77% -4.63% 47.99% 51.35% 11.62% 25.57% 64.01 4.23 0.38% 500 工业 6153.94 3.47% 0.00% 3.80% -1.26% 21.92% 52.47% 9.49% 21.77% 40.22 2.88 0.60% 500 信息 7033.12 0.42% -0.16% 4.11% -7.54% 6.18% 70.00% 10.85% 24.80% 69.40 4.30 0.41% 500 医药 12441.00 2.09% -0.79% 3.35% -4.60% 19.95% 42.68% 10.21% 21.40% 45.35 3.83 0.60% 500 原料 4479.58 7.71% -0.57% 4.91% 3.04% 34.63% 65.92% 14.98% 22.04% 52.63 2.47 0.53% 中证全指 4906.27 2.49% -0.48% 2.85% -3.21% 20.95% 70.52% 8.60% 17.70% 21.88 2.23 1.32% 全指金融 5477.76 2.97% -0.69% 0.74% -4.01% 16.16% 77.47% 8.42% 13.94% 9.14 1.22 3.06% 全指消费 9084.48 3.61% -1.22% 3.83% 1.21% 32.29% 68.55% 12.26% 17.57% 33.44 4.12 1.53% 全指能源 2141.45 4.75% -0.36% 0.76% 2.76% 21.79% 16.47% 14.75% 19.63% 34.18 1.32 0.97% 全指公用 2610.14 3.58% -0.31% 3.27% -1.48% 14.62% 59.51% 8.49% 14.56% 15.89 1.95 2.59% 全指可选 5831.44 3.04% -0.04% 3.71% -2.95% 19.61% 58.52% 9.41% 19.32% 28.93 3.10 1.25% 9/25
全指电信 6323.82-0.22% -0.39% 3.91% -5.16% 28.32% 81.22% 9.98% 21.00% 48.23 3.29 0.51% 全指工业 4160.32 3.02% -0.40% 3.74% -2.86% 23.32% 71.00% 9.92% 20.31% 33.64 2.75 0.75% 全指信息 5911.74 0.26% -0.50% 3.09% -9.43% 9.38% 54.39% 9.94% 24.67% 64.05 4.67 0.40% 全指医药 9700.04 0.95% -0.85% 2.53% -4.44% 19.21% 41.95% 8.63% 18.54% 44.61 4.42 0.61% 全指材料 3447.93 5.12% -0.32% 4.17% 0.91% 29.45% 71.21% 12.25% 21.30% 57.79 2.73 0.43% 上证 180 7548.37 4.48% -0.63% 1.19% -1.15% 21.64% 59.49% 8.04% 13.43% 12.35 1.41 2.36% 180 能源 1527.22 5.15% -0.46% -3.12% 5.22% 20.84% 5.65% 10.48% 16.22% 31.25 1.20 1.19% 180 材料 1674.70 10.70% 0.36% 2.33% 3.50% 28.01% 38.98% 14.99% 20.41% 46.39 2.00 0.62% 180 工业 2247.64 5.80% -0.91% 3.04% -2.79% 25.74% 67.66% 13.56% 19.13% 20.07 1.94 1.24% 180 可选 2470.30 5.23% 0.56% 2.75% 0.72% 22.42% 32.10% 10.70% 16.95% 14.55 2.08 2.81% 180 消费 6371.50 5.76% -1.50% 2.48% 4.26% 42.21% 77.01% 13.06% 17.77% 29.07 4.93 1.70% 180 医药 4368.41 4.17% -0.96% 1.45% 1.16% 22.54% 38.14% 9.60% 14.71% 33.75 3.71 0.76% 180 金地 4682.75 3.58% -0.66% 0.31% -1.91% 18.50% 73.09% 8.33% 13.47% 8.31 1.11 3.37% 180 信息 2661.31 0.15% -0.60% -0.29% -10.38% 9.34% 25.18% 9.47% 23.42% 43.51 4.28 0.76% 180 电信 2111.37-1.25% -0.51% 4.10% -0.15% 38.17% 67.74% 20.75% 26.77% 34.57 2.19 0.59% 180 公用 1719.20 3.58% -0.91% 1.36% -1.08% 11.94% 65.47% 8.74% 12.10% 13.80 1.99 2.93% 上证 380 5740.11 3.57% -0.37% 3.60% -0.61% 21.16% 69.21% 9.00% 20.09% 32.62 2.75 1.01% 380 能源 1722.72 3.87% 0.19% 4.07% 2.30% 12.12% 45.73% 16.96% 26.03% 39.34 1.74 0.59% 380 材料 4073.92 5.07% -0.87% 4.59% 3.65% 32.97% 60.25% 13.96% 21.67% 48.38 2.47 0.53% 380 工业 6393.17 4.63% -0.31% 3.89% 0.11% 19.03% 74.02% 9.19% 21.18% 29.65 2.58 1.07% 380 可选 6190.58 3.50% -0.04% 3.03% 0.43% 19.37% 79.56% 8.45% 19.25% 31.71 3.10 1.11% 380 消费 7635.20 4.15% -1.36% 4.11% -0.19% 29.86% 60.79% 12.10% 19.26% 38.07 3.79 1.10% 380 医药 10703.22 1.61% -0.32% 2.62% -2.71% 22.62% 47.51% 10.15% 19.37% 42.17 4.07 0.74% 380 金融 5313.08-0.02% 0.31% 2.32% -4.56% 13.87% 79.04% 8.18% 22.83% 23.29 1.96 0.71% 380 信息 5849.59 0.17% -0.24% 3.33% -7.86% 8.00% 80.80% 10.31% 24.57% 58.09 4.38 0.61% 380 电信 6226.10 5.97% -1.31% 3.25% -2.21% 57.68% 150.54% 16.92% 26.76% 49.34 4.13 0.66% 380 公用 2406.37 3.90% -0.10% 3.58% -2.34% 14.43% 49.72% 8.58% 18.98% 17.25 2.04 2.46% 中证超大 2924.40 4.48% -0.76% 1.21% -1.76% 25.71% 71.25% 9.32% 13.91% 10.46 1.27 2.88% 中证 100 3278.31 4.59% -0.79% 1.15% -2.19% 20.68% 64.72% 8.87% 12.85% 11.67 1.40 2.57% 中证 200 4233.80 3.78% -0.29% 3.27% -2.85% 18.76% 48.52% 8.88% 18.05% 29.52 2.65 1.04% 中证 700 5223.57 3.36% -0.34% 3.48% -2.42% 19.72% 55.69% 9.14% 19.41% 35.15 2.80 0.82% 中证 800 3976.33 3.92% -0.54% 2.42% -2.30% 20.14% 59.65% 8.64% 15.44% 16.72 1.81 1.77% 10/25
300 沪市 3180.21 4.64% -0.61% 1.30% -0.92% 21.72% 61.78% 8.05% 13.37% 12.41 1.42 2.34% 500 沪市 6548.82 3.69% -0.42% 3.17% -1.01% 21.89% 59.56% 9.42% 20.36% 38.08 2.64 0.72% 超大盘 2199.26 3.90% -0.68% 0.42% -1.60% 30.71% 61.19% 8.65% 14.54% 14.27 1.42 1.95% 上证 50 2370.71 3.66% -0.80% 0.28% -2.01% 21.91% 61.90% 8.27% 13.14% 10.41 1.22 2.80% 上证中盘 3440.13 5.82% -0.35% 2.67% 0.28% 21.24% 55.25% 8.56% 15.93% 21.56 2.15 1.38% 上证小盘 4851.89 4.06% -0.24% 4.00% -0.50% 20.88% 65.12% 9.25% 20.14% 34.67 2.61 0.92% 上证中小 4075.66 4.94% -0.30% 3.33% -0.11% 21.06% 60.00% 8.75% 17.64% 26.40 2.35 1.15% 上证全指 3097.94 4.36% -0.52% 1.95% -0.97% 21.45% 61.41% 8.17% 14.38% 14.42 1.58 2.02% 上证 100 6301.20 3.69% -0.38% 3.33% -0.09% 25.41% 62.12% 9.10% 19.07% 28.19 3.25 1.09% 上证 150 6652.42 0.87% -0.47% 3.78% -3.16% 25.38% 91.36% 8.56% 22.86% 73.11 4.39 0.21% 市值百强 2431.58 4.12% -0.74% 0.81% -1.68% 22.24% 59.28% 8.07% 13.36% 11.33 1.32 2.53% 上证能源 1628.46 4.20% -0.30% -0.25% 3.11% 17.90% 14.81% 12.75% 18.34% 32.80 1.27 1.05% 上证材料 1950.31 9.07% -0.09% 3.28% 3.92% 29.34% 46.77% 13.69% 20.11% 48.94 2.09 0.56% 上证工业 2426.13 5.78% -0.86% 2.82% -2.32% 24.90% 78.95% 12.76% 18.89% 20.57 1.95 1.22% 上证可选 2851.19 4.46% 0.34% 2.58% 0.46% 21.42% 42.35% 8.61% 16.49% 19.47 2.41 2.02% 上证消费 6674.51 5.44% -1.32% 4.17% 3.13% 35.59% 62.62% 12.85% 16.39% 31.99 4.25 1.43% 上证医药 6107.32 2.57% -0.59% 2.00% -1.07% 23.03% 40.77% 8.92% 15.92% 39.13 3.82 0.73% 上证金融 4425.67 3.57% -0.77% -0.06% -1.74% 17.61% 70.01% 8.79% 13.27% 7.83 1.06 3.60% 上证信息 3709.64-0.84% -0.38% 1.54% -9.71% 6.12% 42.63% 8.92% 23.17% 51.49 4.46 0.62% 上证电信 3138.22 2.03% -0.56% 3.52% -4.10% 40.58% 75.36% 11.81% 23.54% 39.75 2.62 0.54% 上证公用 2238.23 3.96% -0.32% 2.76% -1.41% 10.78% 54.01% 8.60% 13.18% 14.22 1.92 2.94% 表 2: 综合 指数特征 指数收益 指数估值 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率市盈率 市净率 股息率 商业指数 4260.47 3.25% 0.84% 8.02% -4.08% 11.01% 70.03% 15.28% 23.32% 28.92 2.83 0.41% 公用指数 6287.91 5.16% -0.67% 5.09% 1.38% 24.21% 86.21% 11.99% 16.82% 19.67 1.84 1.74% 中型综指 1586.53 0.97% -0.29% 3.72% -3.02% 23.78% 81.48% 9.01% 22.14% 59.53 4.32 0.40% 中证流通 5225.81 2.59% -0.41% 3.11% -3.13% 21.76% 73.85% 8.54% 17.77% 22.10 2.29 1.27% B 股指数 348.01 1.82% 0.02% 2.81% -0.11% 2.55% 52.03% 6.44% 15.00% 29.84 1.48 0.15% 11/25
上证指数 3241.73 4.45% -0.36% 2.61% -0.26% 20.60% 57.65% 8.06% 14.40% 16.33 1.76 1.72% A 股指数 3394.50 4.46% -0.36% 2.61% -0.26% 20.68% 57.68% 8.07% 14.41% 16.30 1.76 1.73% 新综指 2736.79 4.46% -0.36% 2.61% -0.25% 20.65% 57.65% 8.07% 14.42% 16.30 1.76 1.73% 上证流通 1185.45 3.82% -0.45% 2.60% -1.06% 22.82% 69.41% 8.12% 15.27% 16.30 1.76 1.73% 工业指数 2597.70 4.48% -0.34% 2.42% 0.61% 22.51% 50.25% 7.97% 16.26% 31.34 2.37 1.00% 地产指数 6761.73 3.01% -0.37% 2.19% -8.78% 28.23% 125.76% 12.67% 20.54% 13.95 1.71 1.93% 综合指数 2810.22 4.45% -0.51% 1.41% -0.67% 17.97% 59.16% 8.16% 12.66% 9.53 1.23 2.90% 表 3: 主题指数市场数据 指数特征 指数收益 指数估值 指数 样本数量 总市值 ( 亿 ) 调整市值 ( 亿 ) 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 市盈率 市净率 CS 西部 40 4,820 2,551 1701.01 10.67% -0.08% 10.56% 6.01% 35.26% -- 48.49 2.41 中证白酒 16 9,252 4,030 3735.86 10.51% -2.14% 9.05% 9.93% 59.81% -- 28.99 4.96 CS 稀金属 16 3,402 1,681 1225.87 10.09% 0.02% 8.00% -0.46% 23.90% -- 152.80 4.88 中证酒 27 10,394 4,591 2578.67 8.08% -1.91% 7.47% 6.19% 48.56% -- 30.69 4.83 中证基建 58 17,058 6,836 10168.97 8.01% -0.05% 6.58% 0.97% 34.49% -- 24.29 2.04 300 消服 17 10,053 5,708 6012.23 8.96% -0.31% 5.94% 1.31% 28.86% 68.03% 19.75 2.53 基建工程 50 17,247 6,944 6533.22 5.82% 0.28% 5.90% -2.45% 38.60% -- 18.99 1.90 上证基建 38 14,754 5,623 10593.28 8.21% 0.05% 5.73% 0.37% 33.25% -- 21.94 2.00 稀土产业 31 5,597 2,969 1584 5.13% 0.02% 5.42% -1.95% 26.50% -- 63.23 3.00 CS 京津冀 43 9,460 4,077 2296.62 5.96% -0.25% 5.30% 0.64% 30.92% -- 25.96 2.11 新材料 50 11,669 6,284 2881.65 7.09% -0.03% 5.14% 1.49% 26.55% -- 65.17 3.42 中小国改 92 14,124 6,644 1713.74 6.16% -0.20% 5.05% 1.90% 21.29% -- 25.03 2.23 CS 食品饮 77 16,544 8,073 9327.51 4.80% -1.51% 4.70% 1.10% 37.04% -- 32.05 4.62 细分食品 50 13,785 6,868 9748.44 6.02% -1.56% 4.61% 2.67% 42.76% 75.22% 31.98 4.82 中证钢铁 39 10,847 3,219 1434.6 10.50% -0.31% 4.57% 7.66% 33.29% -- 134.07 2.17 钢铁产业 11 4,848 1,848 936.99 14.62% -0.45% 4.57% 13.49% 29.83% 61.89% 68.90 1.30 CS 新能车 78 12,002 6,082 2232.12 3.42% -0.56% 4.54% -3.39% 20.56% -- 46.41 3.67 一带一路 78 48,917 14,108 1795.55 6.94% -0.47% 4.50% 2.26% 31.87% -- 25.62 1.57 物流产业 21 6,871 2,694 1496.21 6.17% -1.15% 4.41% -0.71% 14.44% 67.07% 20.58 1.87 轻工产业 82 26,820 14,326 3401.41 6.90% -1.03% 4.39% 0.46% 33.85% 67.94% 25.41 3.76 12/25
食品饮料 50 14,529 7,036 9847.39 5.66% -1.55% 4.39% 1.92% 40.19% 66.36% 30.67 4.80 中证新能 80 17,617 8,633 1763.34 3.38% -0.13% 4.31% -1.68% 22.07% -- 45.31 3.22 内地消费 50 33,744 15,467 6089.14 6.56% -0.36% 4.29% 0.12% 28.72% 50.88% 20.49 3.04 有色金属 50 11,984 6,160 4626.84 8.85% 0.02% 4.23% 0.37% 24.84% 44.66% 98.64 3.49 绿色城镇 100 24,804 12,128 1842.53 4.32% 0.09% 4.23% -1.33% 27.31% 49.55% 26.95 2.99 细分有色 50 11,313 5,905 5227.68 9.00% -0.08% 4.16% 1.41% 27.10% 46.01% 101.29 3.49 新能源 50 13,506 6,469 1575.51 4.41% 0.11% 4.12% -0.09% 20.36% 20.26% 41.56 3.04 中证旅游 23 3,104 1,381 4234.21 3.31% 0.77% 4.10% -2.79% 3.85% -- 33.39 3.09 领先行业 150 80,605 35,859 8877.82 4.62% -0.78% 4.08% 0.41% 29.16% 79.13% 11.61 1.70 城镇交通 100 32,919 15,073 2197.39 3.92% -0.02% 4.07% -3.85% 18.10% 65.62% 25.08 2.73 文体休闲 50 13,920 6,942 1358.67 1.87% 0.33% 4.07% -8.77% 4.73% -- 48.84 4.05 中证 TMT 99 29,223 15,091 2152.36 0.48% 0.01% 4.01% -8.57% 8.38% 49.20% 46.71 3.69 国企改革 100 50,854 20,019 1495.46 6.42% -0.52% 3.89% 1.53% 26.82% -- 19.07 1.88 CS 福建 29 7,900 4,850 2009.79 4.04% -1.05% 3.88% -0.49% 24.46% -- 11.38 1.48 中证文化 50 15,354 6,929 2438.95 1.60% 0.44% 3.87% -9.00% 3.21% 20.60% 48.43 4.55 CS 计算机 99 14,438 7,480 7233.75-1.62% -0.28% 3.79% -12.71% 1.36% -- 58.13 5.17 上证健康 50 11,106 6,565 1448.26 1.88% -0.24% 3.78% -2.68% 21.78% -- 37.85 3.92 上证环保 40 11,462 4,974 1641.32 3.27% -0.23% 3.77% -1.80% 13.47% 36.90% 22.12 2.66 工业 4.0 48 6,312 3,469 2553.8-0.09% -0.06% 3.75% -7.37% 17.96% -- 54.67 4.48 180 运输 10 6,857 2,333 979.22 6.38% -2.08% 3.75% 1.55% 16.82% 35.62% 17.53 1.73 煤炭等权 29 7,690 2,057 2287.93 5.46% 0.16% 3.73% -1.23% 25.18% -- 33.49 1.36 内地运输 28 10,439 4,016 1701.5 5.99% -1.63% 3.73% -0.13% 16.44% 75.70% 20.43 1.83 上证高新 50 9,155 5,082 1622.39 1.87% -0.35% 3.73% -7.30% 17.15% 45.93% 53.75 3.75 智能家居 100 27,133 15,125 2898.54 0.34% -0.51% 3.67% -9.37% 9.15% -- 35.47 3.84 内地基建 50 28,861 10,680 2134.85 4.50% -0.49% 3.67% -2.02% 27.20% 88.38% 17.70 1.87 CS 上海 48 13,441 6,212 2938.16 3.12% -0.51% 3.62% -0.57% 12.01% -- 22.93 2.43 电子产业 138 37,285 20,590 3218.39 3.13% -0.53% 3.60% -5.27% 16.43% 49.45% 37.92 3.71 ESG 100 100 128,734 49,334 1089.06 7.23% -0.40% 3.59% 1.53% 26.70% 81.39% 10.18 1.31 上证中游 177 50,272 22,776 3011.68 6.21% -0.31% 3.55% -0.80% 24.23% 66.27% 26.78 2.23 CS 休闲娱 100 17,839 7,487 5906.42 0.90% 0.66% 3.55% -6.67% 5.26% -- 44.00 3.94 钱江 30 30 10,753 4,414 1126.1 4.59% -0.31% 3.55% -1.53% 20.59% 40.08% 23.25 3.24 混合改革 57 27,507 9,551 1809.52 6.59% -0.38% 3.53% 2.26% 21.56% -- 18.56 1.80 上国改革 50 38,118 13,926 1556.16 5.86% -0.47% 3.52% 1.44% 25.53% -- 16.86 1.74 13/25
沪新丝路 52 44,653 11,617 1711.13 7.15% -0.52% 3.52% 1.89% 31.39% 4.49% 24.80 1.52 上证汽车 50 11,948 4,216 5774.7 6.92% 0.13% 3.51% 2.67% 34.12% -- 18.68 2.34 中证下游 200 76,904 36,114 4803.56 3.68% -0.59% 3.50% -2.50% 20.41% 47.08% 26.66 3.10 180 基建 22 22,375 7,971 1963.84 4.69% -0.62% 3.49% -1.94% 31.12% 94.70% 16.34 1.81 城镇消费 100 52,082 23,568 1472.63 4.86% -0.53% 3.48% -0.45% 26.47% 46.04% 24.17 3.33 CS 汽车 AM 38 13,553 7,794 2256.84 2.49% -0.66% 3.47% -5.63% 15.55% -- 16.03 2.09 中证民企 1935 226,082 103,877 2394.82 0.41% -0.26% 3.46% -5.46% 19.62% 78.20% 47.77 4.12 TMT 150 149 34,278 17,943 1857.81 1.02% -0.23% 3.45% -7.38% 10.83% -- 48.91 3.73 中证高新 100 13,118 7,608 1823.89 0.56% -0.61% 3.43% -8.51% 13.43% -- 59.19 4.17 中证城镇 248 100,905 46,603 1865.44 3.82% -0.36% 3.40% -3.60% 21.83% 59.38% 24.66 2.94 浙企综指 311 40,001 17,595 7643.86 0.47% -0.41% 3.37% -4.28% 21.14% 80.76% 42.47 3.79 沪互金融 18 12,901 8,370 2923.99 0.73% 0.45% 3.36% -10.33% 14.74% -- 10.18 1.41 沪消费品 50 17,098 8,288 7062.43 4.64% -0.32% 3.34% 2.22% 28.51% 56.64% 35.21 4.04 技术领先 200 56,719 27,343 6878.23 1.62% -0.31% 3.33% -4.60% 17.34% 41.84% 42.23 3.59 300 基建 27 24,313 8,723 2146.38 4.72% -0.57% 3.30% -1.88% 28.34% 91.66% 16.68 1.82 中证安全 87 12,178 6,298 2698.58-0.05% -0.12% 3.30% -7.24% 16.52% -- 46.55 4.72 内地低碳 50 17,123 7,757 1253.61 3.84% -0.29% 3.27% -1.14% 19.21% 30.76% 28.29 2.95 健康产业 100 25,465 12,495 1972.56 1.05% -0.30% 3.26% -3.07% 24.33% -- 36.35 4.28 沪智家居 40 7,578 4,334 3083.58 0.92% -0.28% 3.23% -7.30% 16.11% -- 38.68 3.42 中证中游 248 76,182 36,129 3257.39 4.61% -0.30% 3.21% -1.44% 23.37% 59.33% 31.74 2.51 沪大农业 50 6,487 2,815 1452.24 0.99% -0.82% 3.21% -0.91% 22.57% -- 48.37 3.41 中证环保 100 22,411 10,738 1785.55 1.58% -0.01% 3.21% -3.10% 21.67% 42.52% 30.17 3.03 沪绿色城 50 13,165 5,632 1859.33 5.66% -0.42% 3.21% 1.58% 24.71% 45.86% 21.09 2.48 大消费 359 95,335 44,626 8742.52 0.73% -0.44% 3.20% -4.38% 17.22% 55.25% 30.38 3.40 中部崛起 40 12,559 5,658 3304.08 6.14% -0.15% 3.16% -0.80% 25.10% 39.91% 23.16 2.33 中证地企 694 127,623 60,077 1385.73 4.66% -0.65% 3.13% -0.49% 26.34% 67.81% 19.98 2.13 精工制造 200 60,434 27,289 3178.89 3.69% -0.49% 3.13% -3.42% 20.68% -- 26.78 2.37 浙江民企 261 30,866 13,754 9069.36-0.64% -0.36% 3.13% -5.57% 18.75% 81.46% 51.53 4.30 智慧城镇 100 24,856 12,878 2224.62 1.31% -0.32% 3.09% -7.92% 6.51% 29.96% 41.89 4.06 中证海洋 62 14,254 6,284 1693.44 4.02% -0.80% 3.05% 0.11% 23.39% -- 45.57 2.80 信息产业 100 33,575 16,396 5044.35 1.91% -0.15% 3.05% -6.46% 12.67% 28.61% 43.17 3.79 300 非周 191 102,770 47,971 3746.37 4.44% -0.52% 3.05% -2.20% 22.71% 50.18% 24.64 2.74 CS 电子 100 21,793 10,687 5366.01 3.05% -0.50% 3.05% -3.58% 14.38% -- 48.61 3.50 14/25
CS 智消费 100 26,259 14,144 2417.22 3.25% -0.71% 3.05% -5.17% 18.67% -- 25.03 3.25 大宗商品 96 43,543 11,995 4443.31 4.73% -0.34% 3.04% 0.49% 26.74% 64.42% 40.52 1.63 中证传媒 50 14,280 6,635 2107.95 0.51% 0.24% 3.03% -10.95% 2.09% -- 48.00 4.43 资源优选 199 63,613 21,004 2468.02 6.09% -0.35% 3.02% 1.97% 23.44% -- 41.17 1.78 中证核电 48 8,684 3,656 3180.29 2.96% -0.55% 3.01% -0.69% 14.54% -- 27.46 2.27 信息安全 98 14,216 8,460 1680.01-1.61% -0.45% 3.00% -11.01% 3.89% -- 58.75 4.52 农业主题 40 6,467 3,374 1235.8 0.73% -0.86% 2.99% -2.26% 21.14% 49.54% 36.74 3.74 智能交通 50 11,167 5,590 2368.28 1.24% -0.45% 2.96% -6.28% 9.89% 43.69% 44.13 4.00 中证国企 1017 283,176 107,793 1291.11 5.01% -0.55% 2.93% -0.60% 24.07% 72.26% 15.47 1.69 高铁产业 25 8,349 3,678 2292.87 2.05% 0.00% 2.91% -5.15% 22.46% -- 22.36 2.16 细分机械 50 16,184 7,788 4413.88 4.41% -0.52% 2.90% -2.20% 17.67% 30.76% 38.36 2.72 优势资源 41 26,626 5,508 3706.45 7.89% -0.07% 2.89% 1.27% 27.34% 52.55% 46.47 1.53 持续产业 40 12,734 5,214 1114.07 4.29% -0.27% 2.88% 0.66% 17.22% 31.43% 24.21 2.55 中证高装 200 44,720 21,966 5015.84 3.07% -0.36% 2.88% -2.92% 18.26% -- 45.61 3.46 沪城交通 50 20,093 8,263 2261.78 4.85% -0.08% 2.87% -2.34% 22.59% 99.06% 20.64 2.25 环保 50 50 16,446 7,579 1784.53 2.89% 0.04% 2.87% -1.01% 24.86% -- 27.21 3.00 医药 100 100 21,962 11,243 13506.59 1.06% -0.71% 2.87% -4.79% 17.66% 48.50% 41.54 4.33 上证城镇 218 67,211 30,857 1950.4 4.33% -0.48% 2.87% -1.66% 22.08% 62.46% 23.67 2.62 智能资产 180 24,821 14,229 11072.81 0.10% -0.51% 2.86% -6.38% 24.93% 99.03% 36.11 3.83 非周民企 100 41,244 18,871 1298.03 2.19% -0.46% 2.86% -4.97% 13.33% -- 34.12 4.08 汽车产业 29 11,345 4,504 4374.89 4.31% -0.07% 2.81% -0.72% 27.04% 57.89% 16.49 2.21 上证下游 182 53,705 24,221 3676.45 3.34% -0.63% 2.80% -0.41% 24.38% 53.22% 25.07 2.69 民企 200 200 68,081 32,354 1639.61 2.19% -0.42% 2.79% -4.32% 14.67% 41.71% 30.28 3.34 300 信服 61 24,158 12,155 2080.96 1.89% -0.08% 2.78% -6.63% 12.14% 18.14% 42.12 3.66 中证文体 100 21,121 9,920 2531.89 0.31% 0.06% 2.78% -9.30% 2.45% -- 49.83 4.26 中证汽车 94 17,148 7,141 5971.43 3.36% -0.29% 2.75% -2.29% 23.11% -- 21.34 2.58 移动互联 100 20,852 11,024 2413.08-0.25% -0.34% 2.72% -8.16% 5.27% -- 52.09 4.06 CS 广东 44 10,246 4,454 1814.46 3.13% -0.79% 2.71% -4.15% 17.17% -- 23.14 2.27 中证软件 100 16,220 8,736 8596.5-2.09% -0.56% 2.70% -15.15% -0.94% -- 69.26 5.51 互联网 150 52,821 28,158 2722.68 1.48% -0.25% 2.70% -5.73% 12.51% -- 22.82 2.41 有色产业 34 9,207 4,946 2014.65 8.85% -0.47% 2.68% 0.33% 26.55% 45.34% 113.11 3.28 中证安防 36 5,862 2,744 2701.49 1.55% -0.28% 2.68% -7.17% 6.49% -- 48.43 5.19 中证央企 323 155,553 47,717 1937.15 5.46% -0.42% 2.67% -0.73% 21.34% 77.86% 13.13 1.45 15/25
高端装备 60 15,754 7,602 9402.15 5.49% -0.45% 2.62% 1.38% 23.04% 71.03% 43.47 2.99 沪城基建 50 23,430 9,626 1863.69 3.83% -0.17% 2.62% -3.29% 28.40% 121.34% 17.41 1.83 非周期 100 60,272 26,688 2596.16 4.81% -0.53% 2.59% -1.04% 26.19% 54.96% 20.96 2.38 军工信息 149 24,941 13,724 2840.84 1.02% -0.80% 2.58% -7.11% 13.61% -- 68.56 4.15 消费 50 50 23,843 10,060 6427.06 5.14% -0.14% 2.57% 1.68% 29.15% 51.90% 20.98 2.80 装备产业 93 23,603 11,591 2093.36 4.85% -0.44% 2.57% -0.74% 21.28% 37.09% 43.63 2.94 细分医药 50 15,017 7,666 8552.82 2.62% -0.75% 2.56% -1.86% 22.39% 41.63% 37.85 4.27 兴证海西 174 23,033 12,121 1604.19 2.10% -0.43% 2.52% -3.20% 18.67% 77.04% 22.52 2.53 机器人 51 5,909 2,869 1442.49-0.39% 0.00% 2.52% -6.47% 15.51% -- 51.20 3.88 中证服务 300 176,979 71,783 4325.98 2.54% -0.38% 2.51% -5.29% 13.92% 65.34% 12.12 1.52 中小医疗 78 6,517 3,660 14167.73-1.74% -0.88% 2.51% -7.60% 10.56% -- 57.06 4.26 沪智慧城 50 11,212 5,911 2231.86 1.54% -0.06% 2.50% -6.11% 14.53% 39.97% 35.90 3.46 城镇基建 100 34,609 15,137 1815.36 2.76% -0.48% 2.50% -6.55% 18.46% 118.46% 18.74 1.94 中证新兴 100 45,571 21,869 7858.6 2.44% -0.23% 2.47% -3.18% 14.90% 43.22% 30.55 3.38 消费 80 80 32,394 14,636 3861.18 4.50% -0.34% 2.47% 1.33% 26.77% 48.33% 23.78 3.10 细分化工 50 10,723 5,016 3379.21 1.17% -0.79% 2.47% -0.47% 19.27% 59.91% 43.77 3.11 消费服务 100 110,822 42,975 6488.55 3.01% -0.53% 2.46% -2.57% 18.94% 40.71% 10.46 1.39 中证煤炭 29 7,690 2,057 1677.75 6.34% 0.34% 2.43% -2.34% 21.32% -- 33.49 1.36 医药生物 100 21,362 10,896 9204.19 1.37% -0.88% 2.42% -3.53% 19.59% 38.72% 41.14 4.33 优势消费 50 17,422 8,980 5768.24 3.37% -0.72% 2.38% -0.57% 26.40% 44.88% 34.20 4.34 中证医疗 41 4,208 2,324 7751.74-3.44% -0.91% 2.37% -12.24% 8.42% -- 69.02 5.96 沪中部 33 8,674 4,148 3364.64 6.54% 0.11% 2.36% 0.63% 25.41% 47.05% 20.27 2.01 上证 TMT 50 10,208 5,646 2423.16-0.58% -0.77% 2.34% -8.83% 20.54% 93.27% 43.99 3.06 优势制造 50 14,670 6,826 7348.7 5.91% -0.60% 2.33% 0.74% 16.23% 32.73% 37.39 2.96 纺织产业 25 3,808 1,733 2034.92 1.18% -0.34% 2.31% 0.29% 13.51% 68.03% 24.19 2.56 中证中药 46 7,955 4,267 11368.32 0.88% -0.59% 2.31% -3.36% 23.96% -- 34.72 3.89 上证新兴 50 25,009 11,685 6918.32 4.50% -0.43% 2.29% -1.20% 21.62% 45.99% 27.32 2.94 内地农业 36 7,984 4,568 4623.68 0.63% -0.76% 2.28% -3.94% 17.13% 31.99% 31.81 3.16 互联金融 59 22,211 12,986 3052.17-0.91% -0.32% 2.26% -10.52% 8.85% -- 13.74 1.70 A 股资源 50 36,035 7,704 4414.47 6.71% -0.20% 2.24% -0.10% 25.17% 42.96% 39.14 1.48 沪城消费 50 25,788 11,587 1474.29 4.78% -0.35% 2.22% 1.36% 26.94% 38.59% 22.57 2.97 沪信息业 50 12,490 6,578 4539.37 0.10% -0.33% 2.21% -6.81% 15.22% 35.42% 39.62 3.20 沪投资品 50 21,125 8,526 4390.64 7.26% -0.55% 2.13% 0.86% 22.42% 39.82% 39.26 2.08 16/25
300 公运 31 17,580 6,611 1499.67 3.88% -1.25% 2.13% -0.79% 12.37% 58.82% 17.28 1.90 上证民企 50 20,175 11,592 1579.54 3.83% -0.53% 2.13% -1.78% 18.61% 45.95% 21.44 2.48 内地地产 49 15,372 7,270 6768.67 1.68% -0.80% 2.11% -7.69% 6.82% 129.55% 17.93 2.03 东北振兴 38 9,199 5,118 4398.39 2.27% -0.43% 2.10% -5.77% 19.07% 41.07% 29.08 2.54 细分地产 50 16,292 7,388 6385.76 1.14% -0.73% 2.08% -7.87% 5.72% 124.08% 18.92 2.13 黄金采掘 9 2,444 1,263 1388.23 0.85% -1.00% 2.06% -4.30% 22.60% -- 88.71 4.02 沪东北 31 7,673 4,564 3889.9 2.75% 0.39% 2.03% -3.94% 25.96% 43.88% 31.82 2.63 消费领先 100 84,462 35,313 6762.79 2.56% -0.54% 2.02% -1.26% 22.79% 49.64% 9.90 1.33 细分农业 50 7,743 3,029 5590.31-1.74% -0.74% 2.00% -4.93% 14.80% 38.40% 37.21 3.92 CS 智慧农 42 5,340 2,886 1499.41-2.04% -0.89% 1.99% -7.08% 10.29% -- 40.86 2.98 ESG 40 40 78,756 26,730 1364.54 6.26% -0.51% 1.98% 0.58% 27.18% 72.79% 9.00 1.15 上证龙头 70 110,673 32,883 3177.43 4.45% -0.33% 1.95% -0.64% 22.98% 72.16% 11.99 1.34 央企 100 99 127,166 35,168 1657.06 5.31% -0.48% 1.94% -1.87% 20.21% 71.99% 11.77 1.30 长三角 50 33,564 16,441 4175.2 3.83% -0.64% 1.91% -0.61% 19.21% 69.65% 14.19 1.83 沪股通 574 242,325 93,364 2878.9 4.27% -0.54% 1.89% -0.93% 21.53% 75.79% 14.53 1.59 上证资源 50 34,554 6,984 2049.32 6.62% -0.28% 1.85% 1.82% 24.46% 29.44% 38.20 1.44 煤炭指数 23 7,228 1,900 2638.95 5.39% 0.34% 1.84% -2.96% 17.57% 56.37% 32.49 1.36 CS 土改农 34 3,993 1,941 1192.58-0.48% -1.09% 1.83% -2.49% 16.57% -- 43.21 2.77 国企 200 199 193,081 67,678 1044.71 5.30% -0.66% 1.81% -1.34% 22.20% 67.57% 12.68 1.44 医药主题 50 10,572 5,736 10406.19 1.37% -0.77% 1.79% -2.58% 21.52% 52.12% 38.68 3.85 CS 能源互 56 8,802 4,667 1707.18 0.52% -0.74% 1.77% -3.13% 20.72% -- 39.96 3.27 上证移动 50 11,421 5,925 2238.12 1.54% -0.08% 1.74% -4.97% 15.96% -- 33.38 3.22 船舶产业 4 2,647 1,130 2115.99 8.11% -1.16% 1.70% 9.99% 33.21% 46.78% 122.39 2.42 资源 80 80 42,261 11,339 3110.54 5.73% -0.56% 1.69% 1.42% 27.11% 44.25% 40.04 1.62 地企 100 100 65,915 32,510 1098.59 5.29% -0.85% 1.67% -0.75% 24.43% 62.28% 14.93 1.82 治理指数 311 148,235 58,164 1007.72 4.57% -0.54% 1.64% -0.69% 23.43% 64.74% 12.48 1.43 CS 轻资产 100 71,451 33,860 4518.76 2.87% -0.92% 1.62% -3.51% 20.09% -- 21.27 2.96 泛珠三角 45 38,944 23,298 6268.59 4.70% -1.00% 1.54% -2.09% 22.34% 86.63% 14.27 2.01 上证上游 49 34,446 6,897 2332.55 6.71% -0.30% 1.53% 2.42% 24.62% 32.19% 38.13 1.44 沪互联网 86 26,094 15,219 2056.08 1.05% -0.47% 1.46% -4.31% 19.40% -- 16.33 1.90 沪智交通 19 3,198 1,830 2112.15 0.72% -0.47% 1.44% -6.36% 12.01% 51.54% 55.12 3.61 沪环渤海 42 67,408 12,676 2246.95 4.29% -0.60% 1.44% -3.77% 20.67% 48.82% 11.75 1.25 环渤海 46 69,308 13,875 2417.14 4.60% -0.62% 1.40% -3.45% 21.50% 43.55% 12.22 1.27 17/25
上证央企 50 106,312 25,989 1481.3 5.02% -0.67% 1.38% -1.25% 22.48% 65.46% 10.83 1.19 西部开发 43 16,508 7,854 6185.06 1.81% -1.10% 1.35% -2.66% 25.82% 57.53% 24.10 3.49 上证沪企 50 33,556 15,045 2354.89 3.67% -0.46% 1.31% 0.05% 18.53% 61.55% 13.17 1.61 沪长三角 49 31,908 15,321 3243.31 3.64% -0.52% 1.31% -0.01% 20.11% 73.70% 13.29 1.61 内地资源 50 34,467 7,559 2657.02 7.33% -0.46% 1.28% 0.62% 22.54% 30.38% 40.48 1.48 上证商品 50 34,925 7,210 1795.89 6.05% -0.48% 1.26% 1.67% 23.57% 34.69% 39.40 1.45 上证文化 44 7,083 3,289 2018.79 0.83% 0.04% 1.24% -4.22% 14.42% 16.83% 43.92 3.71 石化产业 56 33,677 6,781 1173.11 3.65% -0.40% 1.24% 2.52% 27.77% 37.12% 33.97 1.43 上证休闲 50 7,824 3,531 1333.39 0.88% 0.02% 1.19% -4.23% 12.69% -- 43.34 3.66 资源 50 50 35,302 7,436 2480.54 6.13% -0.53% 1.19% 1.80% 24.16% 33.99% 38.06 1.46 300 有色 11 5,006 2,541 3577.4 9.85% -0.61% 1.18% 1.44% 25.93% 44.28% 122.10 3.11 中证上游 50 35,655 7,821 2576.25 7.51% -0.45% 1.18% 1.58% 23.51% 25.91% 39.27 1.50 180 治理 100 117,084 43,547 884.18 4.49% -0.56% 0.96% -1.25% 23.20% 60.63% 10.99 1.32 上证国企 100 147,811 47,050 977.75 4.52% -0.73% 0.93% -1.38% 22.47% 63.49% 11.26 1.29 责任指数 99 70,199 32,365 1265.94 4.20% -0.54% 0.90% -1.75% 23.02% 70.71% 12.32 1.48 中证军工 65 12,046 6,106 11254.13 5.05% -0.75% 0.83% 0.65% 13.85% -- 96.64 4.27 300 周期 109 141,278 48,298 3419.7 4.18% -0.69% 0.80% -2.63% 17.44% 65.67% 10.69 1.24 沪珠三角 41 29,904 17,008 4570.38 4.48% -0.81% 0.80% -0.28% 23.85% 82.87% 13.63 1.82 内地银行 16 56,306 17,291 5833.12 5.34% -0.50% 0.77% 1.12% 17.83% 72.25% 6.63 0.88 中证体育 31 3,045 1,655 2483.85-0.97% 0.01% 0.74% -5.63% 3.62% -- 61.05 3.86 军工指数 49 10,558 5,365 1504.33 5.14% -0.80% 0.62% -0.37% 14.44% 78.10% 89.82 4.06 上证银行 14 53,944 16,110 816.08 5.24% -0.55% 0.61% 1.07% 17.15% 72.36% 6.57 0.88 上证海外 42 101,016 27,871 1119.34 5.09% -0.67% 0.57% -0.06% 20.86% 61.53% 10.50 1.15 上证军工 27 6,539 3,281 9305.56 7.19% -0.88% 0.56% 3.89% 19.37% 65.32% 103.71 3.48 细分能源 49 29,688 4,497 2280.93 4.72% -0.44% 0.53% 3.03% 22.00% 17.46% 34.02 1.32 沪西部 34 12,119 6,284 5296.38 2.61% -1.12% 0.45% -2.41% 24.04% 44.66% 28.60 3.66 800 金融 52 88,720 34,062 5645.52 3.43% -0.69% 0.41% -2.74% 19.41% 69.70% 8.19 1.12 内地金融 50 87,947 33,574 5930.99 3.37% -0.71% 0.38% -2.77% 19.21% 69.95% 8.14 1.11 细分金融 50 88,321 33,780 5647.47 3.42% -0.72% 0.38% -2.77% 19.28% 69.45% 8.16 1.11 上证地企 50 41,499 21,061 1075.15 3.92% -0.79% 0.38% -1.54% 22.37% 60.48% 12.56 1.66 800 证保 36 32,414 16,770 5756.56 1.44% -0.89% 0.12% -7.21% 21.45% -- 13.89 2.07 180 金融 36 78,798 29,837 4700.69 3.79% -0.70% 0.12% -1.71% 19.07% 70.00% 7.88 1.07 上证周期 50 110,371 35,222 2855.62 4.00% -0.69% 0.05% -1.26% 18.25% 59.06% 9.71 1.12 18/25
300 非银 33 31,834 16,435 8638.4 1.54% -0.95% 0.04% -6.65% 21.47% 69.89% 13.83 2.07 中证证保 32 30,897 15,985 930.1 1.20% -0.99% -0.04% -7.73% 19.75% -- 13.55 2.03 上证养老 40 23,042 11,884 9410.41 0.73% -0.56% -0.10% -1.89% 18.71% -- 21.06 2.57 中证国防 39 7,649 3,520 1696.74 5.11% -0.98% -0.24% -0.50% 17.68% -- 97.81 4.60 180 资源 15 26,905 3,895 2497.4 7.89% -0.53% -0.44% 2.66% 23.36% 20.30% 35.29 1.32 中证保险 20 33,936 10,567 1609.93 0.91% -1.05% -2.12% -5.14% 19.81% -- 18.88 1.51 保险主题 20 38,601 13,012 1661.95 1.89% -0.93% -2.15% -3.25% 20.93% -- 16.78 1.47 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 380R 价值 6846.20 4.70% -0.44% 3.76% 1.26% 23.83% 86.41% 9.95% 19.73% 1.08 0.03 0.22 500R 成长 5927.58 1.92% -0.26% 3.68% -3.60% 16.83% -- 9.15% 21.33% 0.67-0.07 0.12 500R 价值 7337.76 4.15% -0.53% 3.62% -0.34% 24.86% -- 10.71% 20.59% 1.09 0.01 0.19 500 成长 6912.22 2.44% -0.21% 3.58% -2.73% 18.90% -- 9.19% 20.15% 0.81-0.03 0.16 380 价值 8072.98 5.20% -0.56% 3.45% 1.71% 26.32% 98.49% 10.82% 18.52% 1.29 0.08 0.28 380R 成长 4814.67 2.36% -0.28% 3.44% -2.56% 18.44% 52.86% 8.61% 20.64% 0.77-0.03 0.15 500 价值 8591.00 5.18% -0.65% 3.11% 1.12% 29.35% -- 11.13% 19.24% 1.40 0.08 0.26 380 成长 5708.25 2.61% -0.41% 3.05% -2.63% 20.27% 60.17% 8.96% 19.52% 0.91 0.00 0.19 800R 成长 3628.45 2.20% -0.42% 2.51% -4.72% 15.84% -- 7.93% 17.84% 0.75-0.03 0.15 800R 价值 4444.49 5.22% -0.63% 2.36% -0.42% 23.56% -- 9.65% 13.96% 1.51 0.09 0.31 300R 价值 3575.11 5.74% -0.64% 2.07% -0.71% 22.80% 76.60% 9.72% 12.70% 1.60 0.11 0.39 全 R 价值 3420.60 5.30% -0.53% 1.96% 0.50% 22.94% 79.22% 8.92% 13.17% 1.55 0.11 0.41 全 R 成长 2699.23 3.17% -0.52% 1.93% -2.84% 19.47% 41.85% 7.55% 16.42% 1.03 0.06 0.28 800 价值 4861.13 5.43% -0.72% 1.85% -0.71% 24.56% -- 9.74% 13.35% 1.65 0.12 0.42 300 价值 4042.01 5.63% -0.70% 1.81% -0.79% 24.31% 85.86% 9.99% 12.63% 1.73 0.14 0.52 19/25
300R 成长 3076.82 2.30% -0.55% 1.71% -4.76% 16.22% 37.32% 7.70% 16.61% 0.83 0.01 0.20 800 成长 4138.19 2.89% -0.60% 1.64% -4.56% 17.73% -- 7.87% 14.50% 1.05 0.04 0.24 180R 价值 2812.44 5.44% -0.51% 1.37% 0.42% 22.43% 76.32% 8.74% 12.27% 1.62 0.14 0.62 全指价值 3594.50 5.00% -0.64% 1.28% 0.12% 24.23% 83.62% 8.89% 12.72% 1.71 0.16 0.66 300 成长 3608.91 2.83% -0.68% 1.08% -3.91% 18.92% 51.74% 8.01% 14.33% 1.15 0.07 0.32 180 价值 3597.08 5.00% -0.50% 1.04% 0.08% 22.93% 82.01% 9.06% 12.33% 1.66 0.16 0.88 全指成长 3212.48 3.59% -0.68% 0.97% -2.54% 21.22% 57.07% 7.78% 13.40% 1.40 0.12 0.54 180R 成长 1800.00 3.22% -0.79% 0.91% -3.11% 20.59% 39.73% 7.61% 15.54% 1.16 0.11 0.45 180 成长 2771.45 3.20% -0.81% 0.33% -3.45% 21.69% 56.12% 8.20% 13.71% 1.40 0.14 0.68 表 5: 红利指数市场数据 指数特征 指数收益 指数股息 指数 收盘点位 总市值 ( 亿 ) 调整市值 ( 亿 ) 1 年分红 ( 亿 ) 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 样本平均股指数股息率 沪电信红 9515.13 1,952 827 17-1.45% -0.66% 6.51% 2.03% 66.80% 101.19% 0.86% 0.86% 消费红利 18758.53 13,242 6,361 307 5.73% -1.36% 4.62% 6.43% 45.44% 103.19% 2.32% 2.32% 信息红利 17642.81 7,132 3,226 84 3.12% -0.28% 4.60% -3.97% 27.13% 109.27% 1.21% 1.17% 材料红利 6185.23 7,957 4,076 96 8.46% -0.66% 4.15% 5.25% 37.71% 111.62% 1.21% 1.21% 沪消费红 14893.77 7,224 3,684 132 7.94% -1.19% 4.14% 5.96% 29.62% 86.07% 1.82% 1.82% 500 红利 9204.79 7,649 3,775 157 4.45% -0.17% 4.13% 0.31% 28.32% 81.22% 2.05% 2.05% 工业红利 8022.54 13,719 4,813 311 5.75% -0.61% 3.60% 1.14% 27.40% 77.80% 2.27% 2.27% 沪材料红 4727.95 7,188 3,500 76 9.16% 0.18% 3.60% 5.93% 41.24% 79.50% 1.05% 1.05% 沪信息红 9447.77 2,465 1,193 30 0.61% -0.71% 3.54% -5.20% 22.66% 76.06% 1.23% 1.23% 可选红利 13058.54 12,701 6,514 490 3.70% -0.24% 3.41% -1.37% 29.16% 116.08% 3.86% 3.86% 民企红利 3576.63 10,157 6,278 295 2.46% -0.32% 3.14% -1.10% 29.83% 111.23% 2.90% 2.90% 沪公用红 3794.42 7,275 2,627 282 6.50% -0.17% 3.02% 0.64% 10.27% 44.06% 3.88% 3.88% 沪工业红 7238.09 13,433 4,494 290 4.51% -0.92% 3.02% -0.99% 24.80% 79.72% 2.16% 2.16% 20/25
中证红利 4275.43 123,162 40,160 4,043 5.81% -0.49% 2.83% 0.59% 25.93% 87.77% 3.28% 3.28% 上红价值 6477.70 46,429 22,768 1,446 5.82% -0.09% 2.77% 1.57% 23.67% -- 3.11% 3.11% 红利潜力 5785.31 53,138 17,478 1,207 7.00% -0.99% 2.77% -2.18% 27.52% 104.94% 2.27% 2.27% 红利价值 7557.18 46,119 22,729 1,551 5.41% -0.10% 2.73% -0.22% 22.70% 83.74% 3.36% 3.36% 医药红利 14700.91 5,639 2,924 69 2.32% -0.88% 2.73% -2.90% 24.85% 84.70% 1.22% 1.22% 电信红利 8678.51 4,088 2,025 35-1.46% -0.83% 2.71% -6.71% 40.47% 85.13% 0.92% 0.86% 公用红利 3493.31 8,110 3,021 310 5.16% -0.30% 2.68% 0.43% 11.64% 51.89% 3.82% 3.82% 沪可选红 10955.25 8,049 3,232 310 4.20% 0.23% 2.67% 0.03% 30.47% 90.54% 3.85% 3.85% 上红低波 7066.60 53,642 24,028 1,608 6.38% -0.42% 2.64% 1.92% 26.14% -- 3.00% 3.00% 国企红利 1514.34 87,655 28,194 3,392 6.74% -0.47% 2.57% 0.42% 24.49% 79.34% 3.87% 3.87% 380 红利 8501.80 6,264 2,230 190 5.47% -0.67% 2.52% 0.99% 24.78% 88.72% 3.03% 3.03% 上民红利 2536.20 9,298 5,392 232 2.22% -0.32% 2.37% -0.30% 26.00% 65.61% 2.49% 2.49% 红利低波 7977.22 50,806 26,163 1,642 5.64% -0.37% 2.36% -0.02% 25.69% 75.00% 3.23% 3.23% 300 红利 4888.55 96,252 34,044 3,620 6.33% -0.61% 2.10% -0.18% 24.36% 83.94% 3.76% 3.76% 红利指数 2725.08 87,256 27,478 3,312 5.86% -0.31% 2.06% 0.89% 24.27% 66.46% 3.80% 3.80% 上央红利 1908.31 64,229 16,604 2,561 6.16% -0.12% 1.90% 1.37% 20.35% 69.87% 3.99% 3.99% 上国红利 1164.56 71,778 19,750 2,904 6.53% -0.37% 1.87% 1.78% 21.37% 58.34% 4.05% 4.05% 沪医药红 7618.99 1,926 1,089 25 2.13% -1.61% 1.82% -0.13% 29.14% 36.94% 1.28% 1.28% 央企红利 2649.71 68,945 18,450 2,658 5.50% -0.28% 1.75% 0.04% 18.64% 65.23% 3.85% 3.85% 金融红利 7074.92 63,684 22,186 2,615 4.56% -0.58% 1.41% -1.24% 16.81% 99.07% 4.11% 4.11% 沪金融红 5628.82 57,465 18,939 2,401 5.06% -0.61% 1.13% 0.39% 18.54% 77.67% 4.18% 4.18% 高分红 4129.96 99,555 33,164 3,623 5.16% -0.59% 0.97% 0.12% 21.94% -- 3.64% 3.64% 红利回报 4819.75 31,032 15,230 876 3.56% -0.94% 0.86% -4.16% 22.25% 83.32% 2.88% 2.82% 180 红利 3305.12 77,881 24,747 3,091 5.35% -0.53% 0.70% -0.45% 20.72% 68.68% 3.97% 3.97% 上红潜力 4215.96 49,214 14,064 1,084 4.05% -0.58% 0.29% -0.40% 22.47% 65.19% 2.20% 2.20% 上红回报 4444.20 33,327 13,988 877 3.73% -0.74% 0.20% -0.28% 27.85% 76.72% 2.63% 2.63% 能源红利 4338.62 23,630 2,194 275 5.45% -0.34% 0.02% 4.24% 22.11% 36.65% 1.17% 1.17% 沪能源红 5209.70 21,971 1,518 271 5.54% -0.57% -3.36% 6.52% 18.28% 27.47% 1.24% 1.24% 21/25
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 两倍 4215.77 5.05% -0.83% 6.93% -5.56% 33.47% -- 19.25% 41.76% 0.74-0.12 0.13 百发 100 13183.85 6.17% -0.13% 5.81% 1.00% 28.13% -- 11.90% 24.74% 1.04 0.02 0.20 消费等权 5844.74 4.14% -1.35% 5.28% 2.18% 30.75% 47.44% 13.96% 18.03% 1.57 0.08 0.25 淘金 100 10199.23 5.31% -0.25% 4.83% 1.96% 45.96% -- 11.24% 20.65% 2.11 0.22 0.37 电信等权 3112.76 0.01% -0.87% 4.70% -2.45% 41.34% 109.58% 16.91% 24.76% 1.57 0.15 0.30 转型成长 32853.30 2.45% -0.11% 4.58% -2.43% 39.22% -- 11.65% 22.10% 1.66 0.10 0.25 380 高贝 6154.21 2.25% -0.55% 4.49% -3.18% 20.15% 64.83% 10.67% 23.30% 0.76-0.09 0.12 创业价值 1960.36 4.28% -0.64% 4.05% 1.68% 31.68% 97.36% 12.20% 19.81% 1.47 0.06 0.23 500 等权 7933.84 2.96% -0.39% 3.97% -1.90% 23.55% 74.61% 9.86% 21.02% 1.00-0.02 0.17 500ERC 8303.23 3.47% -0.43% 3.96% -1.35% 26.34% -- 9.84% 21.06% 1.13 0.02 0.20 500 稳定 9034.15 4.94% -0.36% 3.96% 0.35% 29.99% 83.23% 10.08% 19.93% 1.38 0.08 0.26 材料等权 3114.97 7.15% -0.41% 3.94% 3.03% 29.11% 63.61% 14.81% 20.94% 1.27 0.08 0.27 180 高贝 7046.77 4.51% -0.01% 3.93% -0.45% 26.13% 86.99% 10.54% 18.82% 1.26 0.11 0.35 380ERC 9586.55 3.69% -0.46% 3.93% -0.83% 24.69% -- 9.23% 20.61% 1.08 0.03 0.21 380 等权 8033.12 3.05% -0.49% 3.92% -1.23% 22.92% 83.06% 9.46% 20.69% 0.99 0.00 0.18 沪财中小 10536.66 3.32% -0.31% 3.89% -0.13% 27.87% 87.83% 9.77% 20.91% 1.21 0.03 0.21 腾讯济安 2535.29 4.28% -0.15% 3.86% 0.58% 33.05% 110.71% 11.29% 19.41% 1.57 0.10 0.28 380 基本 7210.71 5.13% -0.38% 3.84% 1.31% 25.45% 93.34% 10.00% 19.74% 1.16 0.06 0.24 380 稳定 6763.22 4.99% -0.30% 3.83% 1.40% 26.91% 85.79% 9.15% 18.89% 1.29 0.09 0.29 500SER 8499.17 3.06% -0.39% 3.82% -2.13% 27.34% -- 9.90% 20.99% 1.18 0.04 0.22 300 日报酬两倍 2179.33 8.70% -1.21% 3.81% -5.00% 41.26% -- 17.29% 28.02% 1.38 0.17 0.33 新华金牛 5741.17 2.08% 0.05% 3.74% -4.66% 15.02% 26.18% 7.94% 18.99% 0.66-0.04 0.14 500 波动 11989.67 5.99% -0.60% 3.71% 2.53% 36.81% 115.13% 10.04% 19.16% 1.79 0.17 0.36 200 动态 3168.59 2.53% -0.22% 3.71% -6.64% 13.29% 27.24% 8.77% 20.41% 0.53-0.07 0.11 300 高贝 3060.53 3.48% -0.06% 3.62% -4.28% 18.79% 67.41% 10.55% 20.39% 0.80-0.01 0.17 380 波动 10259.81 5.14% -0.42% 3.59% 2.23% 31.48% 124.21% 9.43% 18.61% 1.56 0.15 0.37 800 等权 6241.36 3.36% -0.40% 3.56% -2.14% 21.68% 70.01% 9.41% 19.14% 1.00 0.00 0.18 22/25
CS 娱乐 2305.86 1.22% 0.21% 3.49% -6.02% -2.20% -- 10.80% 21.36% -0.22-0.29-0.04 公用等权 2570.85 2.95% -0.13% 3.44% -3.02% 9.66% 47.87% 8.67% 16.28% 0.44-0.05 0.11 500 高贝 5054.56 0.40% -0.45% 3.42% -6.65% 13.88% 58.61% 9.86% 23.10% 0.49-0.13 0.08 创业成长 1365.68 1.07% -0.21% 3.40% -5.38% 11.86% 36.00% 8.88% 20.74% 0.45-0.13 0.08 300 两倍 1447.60 7.92% -1.26% 3.39% -6.03% 35.17% 70.33% 17.35% 28.01% 1.17 0.11 0.28 工业等权 3215.89 6.87% -0.73% 3.35% 1.35% 25.25% 88.80% 11.32% 18.89% 1.20 0.09 0.31 500 动态 4650.01 1.05% -0.42% 3.33% -4.40% 11.99% 44.48% 9.78% 22.05% 0.43-0.14 0.07 380 动量 5385.94 3.67% -0.40% 3.29% -1.16% 12.85% -- 10.43% 19.73% 0.52-0.08 0.10 380 动态 4621.84 1.99% -0.45% 3.28% -2.73% 15.16% 53.50% 9.09% 21.67% 0.58-0.09 0.11 380 低贝 6025.86 3.40% -0.39% 3.27% -0.96% 24.50% 97.36% 8.60% 18.19% 1.21 0.07 0.28 500 低贝 10560.72 4.26% -0.63% 3.17% 0.45% 29.22% 94.34% 9.70% 19.01% 1.41 0.08 0.27 300 等权 4189.25 4.04% -0.40% 2.88% -2.54% 18.72% 61.36% 9.02% 16.70% 0.97 0.02 0.21 能源等权 2836.91 4.99% 0.04% 2.87% 2.18% 16.37% 31.54% 15.03% 21.86% 0.63-0.05 0.14 200 稳定 5557.08 4.75% -0.35% 2.83% 0.45% 23.67% 71.76% 9.42% 16.34% 1.30 0.07 0.27 300 分层 4705.05 4.37% -0.43% 2.73% -1.19% 19.26% 57.80% 9.03% 16.25% 1.03 0.04 0.23 300ERC 4514.59 4.38% -0.46% 2.61% -1.34% 21.24% 62.18% 8.59% 15.83% 1.18 0.06 0.28 安中动态 986.94 4.63% -0.58% 2.59% -0.44% 23.71% 57.86% 9.15% 14.94% 1.42 0.09 0.32 300SER 4977.56 3.86% -0.46% 2.59% -0.35% 23.38% -- 8.44% 15.26% 1.37 0.09 0.31 可选等权 3372.99 2.99% 0.07% 2.59% -0.76% 22.54% 53.50% 8.74% 18.49% 1.08 0.07 0.29 小康指数 5323.30 5.82% -0.22% 2.58% 0.79% 33.36% 92.61% 10.02% 15.61% 1.98 0.21 0.61 300 动态 3116.81 2.64% -0.56% 2.55% -8.07% 12.60% 39.80% 9.93% 19.51% 0.52-0.05 0.12 300 波动 6339.15 6.15% -0.65% 2.51% 1.97% 27.17% 102.91% 9.19% 12.75% 1.94 0.16 0.51 信息等权 4973.26-1.08% -0.45% 2.51% -10.56% 9.96% 54.16% 9.60% 24.64% 0.30-0.17 0.06 300MV 5930.57 6.06% -0.84% 2.36% 2.13% 26.48% -- 8.48% 12.83% 1.87 0.13 0.42 央视 500 1130.05 4.18% -0.53% 2.30% -2.01% 20.00% -31.00% 8.52% 15.08% 1.16 0.04 0.24 180 等权 8986.94 4.84% -0.39% 2.27% -0.62% 22.14% 67.77% 8.71% 15.98% 1.23 0.10 0.37 180 动态 7101.90 3.18% -0.61% 2.24% -5.53% 19.45% 47.86% 10.09% 19.49% 0.87 0.05 0.27 医药等权 8316.29 1.34% -0.42% 2.23% -2.63% 23.13% 48.58% 9.27% 18.32% 1.13 0.07 0.28 中证龙头 3802.94 4.32% -0.28% 2.21% -1.63% 20.03% 68.14% 8.32% 13.98% 1.25 0.06 0.27 CS 医药 11128.74 0.79% -0.78% 2.17% -5.14% 21.68% -- 10.26% 20.96% 0.92-0.01 0.17 180ERC 4367.26 5.06% -0.51% 2.02% 0.29% 23.29% -- 8.48% 14.87% 1.40 0.12 0.45 180 分层 10183.21 4.88% -0.39% 1.97% -0.08% 21.10% 53.19% 8.56% 15.45% 1.20 0.09 0.38 300 低贝 5103.45 4.57% -0.70% 1.97% 0.57% 21.90% 59.48% 7.74% 13.19% 1.47 0.11 0.42 23/25
180 两倍 3231.90 8.28% -1.31% 1.93% -3.55% 39.10% -- 16.17% 26.85% 1.36 0.23 0.51 光大阳光 4773.45 5.55% -0.69% 1.91% -1.61% 26.18% 77.32% 10.03% 13.50% 1.75 0.14 0.46 等权 90 2833.47 3.83% -0.67% 1.83% -4.04% 18.91% 63.07% 9.56% 15.54% 1.06 0.03 0.22 180 波动 12098.20 5.92% -0.66% 1.81% 1.34% 26.58% 90.76% 8.50% 13.40% 1.80 0.17 0.67 800 动量 2975.99 4.30% -0.61% 1.79% -2.19% 17.13% -- 8.85% 13.97% 1.05 0.03 0.24 财富大盘 4547.93 4.79% -0.63% 1.64% -1.19% 22.36% 93.74% 9.16% 12.26% 1.62 0.12 0.45 富国多空 24144.45 7.17% -0.23% 1.57% 2.28% 36.86% 163.80% 9.77% 14.21% 2.42 0.24 0.62 300 稳定 3613.69 5.25% -0.63% 1.55% 1.09% 24.58% 77.45% 8.67% 11.55% 1.91 0.14 0.48 100 动态 2755.84 3.21% -0.75% 1.51% -8.10% 14.71% 40.16% 10.95% 18.23% 0.67 0.01 0.20 300 动量 3127.42 4.49% -0.65% 1.41% -2.27% 18.65% 23.18% 8.75% 12.58% 1.28 0.07 0.34 180 基本 10205.92 5.08% -0.55% 1.13% -0.25% 25.38% 91.85% 8.73% 12.80% 1.79 0.17 0.74 180 低贝 9238.56 4.74% -0.85% 1.06% 1.05% 20.53% 57.73% 7.63% 12.32% 1.46 0.13 0.61 100 稳定 3423.54 5.44% -0.80% 0.96% 1.44% 24.32% 84.79% 8.79% 11.00% 1.98 0.16 0.72 银河 99 5765.68 4.49% -0.66% 0.93% -2.44% 23.42% 89.23% 9.19% 12.64% 1.65 0.15 0.67 50 等权 2348.56 3.78% -0.74% 0.76% -2.53% 22.47% 64.06% 8.38% 15.13% 1.32 0.13 0.56 180 稳定 8296.83 5.12% -0.64% 0.68% 0.99% 22.60% 74.75% 7.89% 11.54% 1.74 0.16 0.92 50 基本 2685.48 4.10% -0.72% 0.44% -1.26% 25.59% 83.07% 8.74% 12.93% 1.79 0.18 0.91 180 动量 2422.59 4.09% -0.64% 0.32% -1.22% 20.27% -- 7.92% 11.92% 1.49 0.13 0.69 50 两倍 992.66 6.58% -1.65% 0.11% -5.26% 39.79% -- 16.65% 26.28% 1.42 0.27 0.70 金融等权 4655.42 3.95% -0.83% 0.09% -1.80% 18.46% 75.55% 9.28% 14.12% 1.13 0.12 0.79 50 反向 1818.39-3.42% 0.82% -0.21% 2.15% -18.29% -- 8.30% 13.14% -1.58-0.16 0.78 50 反两 534.68-7.48% 1.59% -0.86% 2.96% -37.25% -- 16.50% 26.28% -1.51-0.30 0.75 180 反向 4825.12-4.16% 0.64% -1.10% 1.29% -18.15% -- 8.07% 13.42% -1.54-0.14 0.58 300 反向 2026.59-4.01% 0.62% -1.81% 2.55% -17.13% -46.89% 8.66% 14.01% -1.40-0.09 0.34 300 日报酬反向 1700.11-4.23% 0.60% -1.93% 2.21% -18.26% -- 8.64% 14.01% -1.48-0.10 0.36 180 反两 1370.71-8.90% 1.24% -2.62% 1.27% -37.06% -- 16.06% 26.85% -1.47-0.26 0.56 500 反向 1184.41-2.92% 0.40% -3.47% 1.93% -19.32% -- 9.62% 20.88% -1.04 0.00 0.19 300 反两 565.38-8.62% 1.18% -4.03% 3.77% -35.57% -80.62% 17.26% 28.02% -1.36-0.17 0.33 500 反两 143.14-6.67% 0.74% -7.27% 2.30% -40.24% -- 19.22% 41.77% -1.02 0.01 0.18 24/25
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 F300 7837.90 4.45% -0.36% 4.18% 0.96% 26.96% 73.14% 10.33% 20.26% 1.21 0.04 0.22 基本 400 7020.19 4.52% -0.35% 4.04% 0.20% 24.84% 75.28% 10.82% 19.58% 1.14 0.02 0.21 基本 500 8075.96 2.34% -0.32% 3.85% -1.74% 25.23% -- 9.41% 21.34% 1.07 0.00 0.18 基本 600 4944.88 5.61% -0.51% 2.35% 0.11% 25.56% 97.27% 9.99% 13.28% 1.74 0.12 0.39 基本 300 5114.67 5.28% -0.57% 2.05% -0.89% 25.14% -- 10.08% 12.85% 1.76 0.13 0.41 基本 200 4268.61 5.89% -0.55% 1.94% 0.09% 25.80% 102.64% 10.05% 12.71% 1.83 0.15 0.49 上证 F500 4793.80 5.33% -0.47% 1.94% 0.33% 25.77% 96.41% 9.25% 13.03% 1.79 0.15 0.49 上证 F200 4214.66 5.46% -0.49% 1.61% 0.23% 25.64% 99.97% 9.30% 12.80% 1.81 0.16 0.61 基本面 50 3693.16 5.14% -0.59% 1.36% -0.73% 25.98% 111.81% 9.35% 12.14% 1.93 0.17 0.72 25/25
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