定期分析报告 10 月份市场概要 10 月份国际市场主要股指总体表现较差, 美国股市回撤较深 10 月美国失业率为 3.70%, 非农数据公布值为 25 万人, 预测值未 19 万人, 表现强劲, 美联储加息预期加强 月末, 人民币跌破 6.97 关口, 随后迅速回升 标普 500 指数月内断崖式下

定期分析报告 中证指数 10 月份运行报告 目录 10 月份市场概要... 1 A 股主要指数表现... 2 沪深 300 指数分析... 3 主题及行业指数表现... 5 策略指数表现... 6 商品期货指数表现... 8 债券指数表现... 9 表 1: 成份指数市场数据... 10 表 2: 综合指数市场数据... 12 表 3: 主题指数市场数据... 13 表 4: 风格指数市场数据... 20 表 5: 红利指数市场数据... 21 表 6: 策略指数市场数据... 22 表 7: 基本面指数市场数据... 25

定期分析报告 10 月份市场概要 10 月份国际市场主要股指总体表现较差, 美国股市回撤较深 10 月美国失业率为 3.70%, 非农数据公布值为 25 万人, 预测值未 19 万人, 表现强劲, 美联储加息预期加强 月末, 人民币跌破 6.97 关口, 随后迅速回升 标普 500 指数月内断崖式下跌, 最低触及 2603.54 点, 全月下跌 6.94%, 收至 2711.74 点 STOXX 欧洲 600 指数下跌 5.63%, 收至 361.61 点 日经 225 指数下跌 9.12%, 香港 100 指数下跌 10.12% 10 月,A 股受海内外因素影响, 再创近年来新低, 但在政策利好等因素的影响下, A 股月末有所回暖 10 月官方制造业 PMI 为 50.2%, 比上月回落 0.6 个百分点 ; 官方非制造业商务活动指数为 53.9%, 比上月回落 1.0 个百分点 关于上海证券交易所与伦敦证券交易所互联互通存托凭证业务的监管规定 ( 试行 ) 与 证券期货经营机构私募资产管理业务管理办法 及其配套规则发布, 同时就修订 期货公司分类监管规定 公开征求意见, 此外证监会还与日本金融厅签署 促进两国证券市场合作的谅解备忘录 沪指 19 日最低探至 2449.20 点, 随后便走出了一波反弹行情 整体来看, 沪指全月下跌 7.75%, 收至 2602.78 点 当月上海市场日均成交金额 1360.67 亿元, 环比上涨 20.08% 沪深 A 股规模指数中, 大中小指数回落较深 中证 1000 跌幅最大, 跌幅达 11.76%; 跌幅最小的为中证 100, 跌幅为 7.30%; 沪深 300 指数月内跌幅为 8.29% 创业板全月下跌 9.62%, 中小板指全月下跌 13.06% 10 月份主题及行业指数表现较差, 仅有 4 条主题行业指数上涨 上证证券上涨 4.18%, 涨幅居首 ; 中证白酒下跌 27.63%, 跌幅最大 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 10 月,A 股受海内外因素影响, 再创近年来新低, 但在政策利好等因素的影响下, A 股月末有所回暖 10 月官方制造业 PMI 为 50.2%, 比上月回落 0.6 个百分点, 制造业总体继续运行在扩张区间, 但扩张速度放缓 ; 官方非制造业商务活动指数为 53.9%, 比上月回落 1.0 个百分点, 表明非制造业继续保持增长态势, 增速有所放缓 关于上海证券交易所与伦敦证券交易所互联互通存托凭证业务的监管规定 ( 试行 ) 与 证券期货经营机构私募资产管理业务管理办法 及其配套规则发布, 同时就修订 期货公司分类监管规定 公开征求意见, 此外证监会还与日本金融厅签署 促进两国证券市场合作的谅解备忘录 沪指 19 日最低探至 2449.20 点, 随后便走出了一波反弹行情 整体来看, 沪指全月下跌 7.75%, 收至 2602.78 点 当月上海市场日均成交金额 1360.67 亿元, 环比上涨 20.08% 沪深 A 股规模指数中, 大中小指数回落较深 中证 1000 跌幅最大, 跌幅达 11.76%; 跌幅最小的为中证 100, 跌幅为 7.30%; 沪深 300 指数月内跌幅为 8.29% 上海市场中, 主要指数全线收跌, 上证 380 下跌 11.86%, 跌幅居首 创业板全月下跌 9.62%, 中小板指全月下跌 13.06% 图 2: 全市场主要指数涨跌幅 图 3: 上海市场主要指数涨跌幅 图 4: 深圳市场主要指数涨跌幅 图 5: 中证主要指数市值覆盖率 2 / 25

定期分析报告 沪深 300 指数分析 10 月份沪深 300 指数从上月末 3438.87 点下跌至 3153.82 点, 低点为 3009.50 点, 全月下跌 8.29% 10 月份沪深 300 指数日均成交 1078.83 亿元, 环比上涨 26.35% 10 月末沪深 300 指数滚动市盈率为 12.52 倍, 与上月末 13.57 倍水平下降明显 图 6: 沪深 300 指数走势 一级行业指数全线下跌, 其中主要消费业务跌幅居首, 跌幅达到 21.92%; 金融行业 跌幅最小, 跌幅为 1.71% 图 7: 沪深 300 行业指数涨跌幅 图 8: 沪深 300 行业权重分布 沪深 300 指数中, 权重排名前三的行业分别为金融地产 工业 可选消费, 月末权重分别为 41.88% 12.42% 10.62%, 累计权重 64.92% 能源和电信行业权重较低, 分别为 2.83% 和 1.84% 3 / 25

定期分析报告 10 月末沪深 300 指数滚动市盈率为 12.52 倍, 市净率为 1.63 倍 从行业来看, 主要消费市盈率最高, 滚动市盈率为 34.23 倍, 与上月 44.17 倍水平下降明显 金融地产行业估值水平最低, 滚动市盈率为 8.15 倍, 市净率为 1.27 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 招商银行 贵州茅台位列前三大权重股, 权重分别为 7.18% 3.11% 和 2.87% 兴业银行权重位列第四, 为 2.09%, 格力电器 民生银行 美的集团位列 5 6 7 位, 权重为 1.91% 1.89% 和 1.78%, 前 10 大权重股权重合计 25.52% 10 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 中国平安和五粮液, 分别贡献 -29.91 点 -17.34 点和 -12.63 点, 前 10 只股票合计贡献 -111.1 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 10 月份主题及行业指数表现较差, 仅有 4 条主题行业指数上涨 上证证券上涨 4.18%, 涨幅居首 ; 中证白酒下跌 27.63%, 跌幅最大 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 10 月市场风格指数全线下跌 跌幅最大的为 380 成长, 跌幅为 12.68%;180 价值跌幅最浅, 跌幅为 4.19% 基本面指数同样全线下跌, 其中基本面 300 指数跌幅最大, 跌幅达 10.63%; 中证锐联基本面 50 指数跌幅最小, 跌幅为 3.80% 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 10 月份红利系列指数全线下跌, 红利潜力指数跌幅最大, 跌幅为 12.19%; 上证央企红利指数跌幅最小, 跌幅为 3.46% 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 4.49% 4.39% 和 4.18% 中小板板块与创业板板块股息率分别为 2.17% 0.72% 图 17: 红利指数系列与基准指数股息率对比 10 月份波动率加权指数系列的波幅与上月有所上升, 沪深 300 中证 500 波动率加 6 / 25

定期分析报告 权指数波幅分别为 16.36% 19.07% 图 18: 波动率加权指数系列波幅 图 19: 波动率加权指数系列涨跌幅 10 月份高 低贝塔指数表现较差, 跌幅最大的为 380 高贝, 跌幅为 12.55%; 跌幅最 小的为 180 高贝, 跌幅为 4.11% 图 20: 高低贝塔指数系列贝塔值 图 21: 高低贝塔指数系列涨跌幅 7 / 25

定期分析报告 商品期货指数表现 10 月商品期货指数各有涨跌 中证贵金属期货成份指数涨幅居首, 涨幅为 3.28% 中证化工材料期货成份指数跌幅最大, 跌幅为 3.68% 其余指数涨跌幅分别为中证工业金属期货成份指数 (2.69%) 中证工业品期货成份指数(1.56%) 中证商品期货成份指数 (1.43%) 中证能源化工期货成份指数(-0.80%) 中证农产品期货成份指数(-1.04%) 中证粮油期货成份指数 (-1.31%) 以及中证有色金属期货成份指数 (-1.80%) 图 22: 中证商品期货成份指数系列市场表现 8 / 25

定期分析报告 债券指数表现 10 月官方制造业 PMI 为 50.2%, 比上月回落 0.6 个百分点, 制造业总体继续运行在扩张区间, 但扩张速度放缓 ;10 月财新 PMI 录得 50.1, 高于 9 月 0.1 个百分点, 显示经济微幅扩张 10 月份, 央行对金融机构开展 SLF( 常备借贷便利 ) 操作共 292 亿元 MLF( 中期借贷便利 ) 未进行操作, 货币供给保持相对宽松 在市场利率层面,10 月份各期限 SHIBOR 和 DR007 加权利率均值依旧低位徘徊, 利率长端本月同样保持低位 债券指数方面,10 月份债市表现较好 中证综合债指数上涨 0.91%, 中证全债指数上涨 1.02% 分期限看, 长期的中证 10+ 债指数上涨 2% 中证 10 债指数上涨 1.33% 中证 1 3 7 债指数涨跌幅分别为 0.36% 0.66% 和 1.03% 中证国债 中证金融债 企业债指数涨跌幅分别为 1.06% 1.11% 和 0.89%, 中证短融指数上涨 0.21% 图 23: 中证债券指数系列市场表现 9 / 25

表 1: 成份指数市场数据 指数收益指数波动指数估值 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率静态市盈率市净率 股息率 沪深 300 3153.82-21.76% -0.62% -8.29% -10.34% -21.29% -10.76% 36.35% 20.20% 12.25 1.36 2.79% 300 金融 5620.13-13.08% -0.19% -1.71% 1.46% -12.19% 4.05% 37.88% 22.45% 8.49 1.01 3.27% 300 消费 10845.67-27.70% -6.85% -21.92% -23.07% -20.23% 46.85% 54.96% 32.71% 23.51 5.07 2.36% 300 能源 1737.32-10.45% -0.73% -7.75% 1.40% -7.41% -6.39% 35.39% 22.96% 21.29 1.20 3.92% 300 公用 1725.02-11.02% 0.16% -6.62% -8.74% -14.62% -24.75% 25.87% 14.02% 17.61 1.67 3.19% 300 可选 4188.08-29.68% -3.25% -13.39% -20.23% -29.15% -20.32% 36.43% 24.05% 13.38 1.97 2.94% 300 电信 2102.89-39.89% -2.01% -12.31% -9.67% -41.44% -34.71% 49.83% 33.79% 31.60 1.63 0.53% 300 工业 1905.73-27.23% 1.22% -8.05% -11.64% -29.19% -38.92% 35.25% 18.97% 13.60 1.37 1.98% 300 信息 1495.95-35.39% 1.20% -12.02% -22.42% -37.36% -32.99% 45.19% 31.07% 26.81 3.30 1.03% 300 医药 8834.86-12.30% 2.13% -13.14% -20.22% -11.99% 15.52% 38.70% 27.39% 33.31 4.39 0.99% 300 材料 1858.20-29.19% 1.09% -11.09% -18.44% -28.75% -11.04% 36.22% 22.44% 15.44 1.64 2.67% 中证 500 4272.55-31.65% 0.91% -11.00% -17.66% -34.87% -39.70% 39.23% 22.68% 18.31 1.62 1.44% 500 金地 3420.97-33.07% 0.84% -4.95% -11.14% -38.50% -47.56% 43.26% 22.40% 12.21 1.14 1.80% 500 消费 6979.11-23.60% -2.29% -18.01% -24.02% -23.83% -14.52% 42.34% 23.95% 27.23 2.19 1.53% 500 能源 3234.39-20.28% 0.33% -8.29% -6.73% -21.80% -22.00% 42.32% 27.62% 15.43 1.25 1.94% 500 公用 2360.21-25.87% 1.50% -8.22% -12.66% -27.95% -48.37% 37.78% 18.84% 22.25 1.13 1.98% 500 可选 3086.95-36.95% 0.80% -11.49% -21.80% -41.81% -51.99% 36.81% 20.50% 16.13 1.48 1.84% 500 电信 3321.13-42.43% 0.66% -11.92% -22.10% -40.53% -21.39% 52.56% 30.01% 39.21 2.18 0.55% 500 工业 3553.35-36.97% 1.09% -10.16% -15.54% -41.84% -51.36% 38.29% 22.27% 20.48 1.55 1.11% 500 信息 4677.80-31.25% 1.05% -12.13% -19.50% -35.60% -45.39% 44.55% 31.45% 28.69 2.47 0.88% 500 医药 9189.69-26.92% 2.13% -12.42% -17.95% -26.97% -35.30% 40.42% 24.83% 19.44 2.38 1.44% 500 原料 3446.51-29.11% 1.08% -10.57% -17.82% -31.02% -15.56% 40.80% 26.12% 13.76 1.43 1.74% 中证全指 3527.42-28.00% 0.12% -9.34% -14.27% -30.32% -30.71% 36.57% 20.07% 14.72 1.51 2.20% 全指金融 5132.82-15.65% 0.05% -1.67% 0.06% -15.51% -4.04% 37.64% 21.59% 8.68 1.02 3.18% 全指消费 8363.35-26.18% -3.58% -17.00% -21.12% -24.13% 1.72% 43.30% 25.31% 24.35 3.61 2.00% 全指能源 1692.88-18.23% -0.48% -7.54% -2.35% -18.36% -19.66% 38.13% 23.43% 20.36 1.21 3.64% 全指公用 1851.50-19.94% 1.15% -7.21% -10.21% -24.61% -41.01% 29.81% 15.22% 18.72 1.46 2.72% 全指可选 3715.29-34.62% -1.26% -12.19% -20.82% -37.33% -40.30% 34.91% 20.54% 15.44 1.73 2.40% 全指电信 4253.06-37.66% -0.53% -12.12% -15.57% -39.17% -33.87% 45.53% 29.42% 32.77 1.88 0.59% 10/25

全指工业 2438.68-34.63% 1.11% -9.87% -15.81% -39.03% -48.74% 36.75% 20.23% 16.98 1.51 1.60% 全指信息 3815.67-33.99% 1.17% -11.91% -21.04% -37.92% -45.92% 44.28% 29.99% 28.87 2.65 0.87% 全指医药 7952.65-21.25% 2.02% -12.15% -19.45% -22.47% -23.72% 38.57% 25.00% 27.92 3.12 1.10% 全指材料 2372.59-31.82% 1.04% -10.68% -18.50% -34.23% -27.39% 37.93% 22.94% 16.02 1.65 1.98% 上证 180 7150.20-17.31% -0.36% -7.13% -7.06% -16.79% -6.97% 35.80% 19.46% 11.21 1.22 3.09% 180 能源 1595.21-3.06% -0.40% -7.05% 2.48% 0.78% 1.15% 37.14% 24.95% 21.07 1.22 4.12% 180 材料 1440.71-27.59% 1.33% -10.61% -18.13% -24.99% -8.40% 37.74% 23.78% 14.76 1.60 2.97% 180 工业 1730.45-23.74% 1.81% -6.52% -8.30% -25.74% -35.10% 34.95% 19.24% 12.86 1.30 1.99% 180 可选 1972.62-25.91% -1.06% -18.07% -20.13% -27.13% -25.20% 40.76% 22.24% 11.85 1.56 4.43% 180 消费 8082.51-26.17% -7.48% -21.04% -22.35% -20.16% 54.95% 54.74% 31.92% 24.43 5.28 2.19% 180 医药 4870.82-13.70% 3.26% -14.94% -21.20% -12.60% 13.52% 42.28% 29.99% 28.26 3.66 1.02% 180 金地 4713.11-11.92% -0.37% -1.77% 1.33% -11.14% 4.17% 36.78% 22.01% 8.26 0.98 3.35% 180 信息 2018.20-22.53% 2.27% -13.74% -14.17% -26.15% -40.42% 47.12% 34.07% 38.71 4.66 0.66% 180 电信 1467.52-30.38% 0.13% -10.63% -9.98% -36.25% -39.17% 41.84% 28.13% 67.30 1.23 0.58% 180 公用 1576.45-10.83% -0.53% -5.82% -8.33% -14.47% -25.32% 25.02% 13.55% 16.83 1.78 3.48% 上证 380 3899.25-30.04% 0.60% -11.86% -18.24% -32.10% -37.90% 38.91% 22.72% 16.83 1.79 2.03% 380 能源 1091.29-31.81% -0.99% -9.44% -9.42% -28.28% -33.95% 42.93% 29.74% 10.91 1.06 2.60% 380 材料 3310.91-24.72% 0.91% -11.55% -19.10% -25.23% -16.96% 43.50% 27.14% 14.60 1.74 2.09% 380 工业 3738.91-34.89% 1.07% -10.66% -16.79% -39.38% -50.41% 37.60% 23.08% 16.73 1.52 1.84% 380 可选 3630.72-37.39% 0.30% -12.48% -22.81% -40.09% -47.08% 37.87% 20.55% 15.47 1.77 2.35% 380 消费 7102.41-19.37% -0.69% -18.46% -21.48% -17.00% -4.37% 50.68% 28.47% 33.73 4.14 1.40% 380 医药 8617.22-19.62% 2.07% -9.12% -15.51% -21.11% -23.26% 37.32% 25.39% 20.81 2.64 1.68% 380 金融 2842.48-36.42% -0.72% -12.36% -18.65% -39.89% -53.82% 45.32% 23.53% 8.77 1.09 3.35% 380 信息 3785.25-35.97% 1.85% -12.76% -21.00% -36.18% -44.90% 49.04% 33.55% 27.73 3.04 1.54% 380 电信 5263.84-34.79% -7.40% -22.66% -20.79% -35.47% 8.56% 52.17% 41.77% 20.16 2.42 1.24% 380 公用 1718.70-17.86% 1.70% -4.76% -8.54% -21.06% -40.49% 28.04% 16.00% 17.59 1.43 2.89% 中证超大 2867.90-14.61% -0.50% -5.48% -5.13% -14.56% 4.44% 34.96% 19.85% 10.57 1.22 3.26% 中证 100 3375.16-17.30% -1.15% -7.30% -7.21% -15.56% 5.33% 36.23% 20.92% 11.22 1.28 3.05% 中证 200 3040.54-30.45% 0.61% -10.48% -16.81% -32.09% -35.17% 39.01% 21.46% 17.09 1.69 1.99% 中证 700 3594.73-31.06% 0.76% -10.74% -17.23% -33.55% -37.60% 39.01% 21.87% 17.67 1.66 1.72% 中证 800 3334.86-24.32% -0.27% -8.94% -12.16% -24.97% -19.76% 36.51% 20.06% 13.06 1.40 2.53% 300 沪市 3010.89-17.53% -0.37% -7.31% -7.11% -16.86% -6.98% 35.76% 19.38% 11.44 1.24 3.06% 11/25

500 沪市 4435.68-30.62% 0.89% -11.01% -17.04% -33.31% -38.39% 38.65% 22.48% 16.90 1.51 1.60% 超大盘 2139.04-13.81% 0.36% -6.08% -2.53% -13.45% 3.57% 35.81% 19.69% 11.91 1.27 3.39% 上证 50 2451.12-14.31% -0.72% -5.97% -3.69% -12.26% 5.97% 36.81% 21.05% 10.49 1.17 3.32% 上证中盘 2791.47-22.73% 0.36% -9.34% -13.07% -24.52% -25.55% 35.59% 18.73% 13.74 1.41 2.50% 上证小盘 3290.04-29.79% 0.65% -11.39% -17.38% -32.28% -39.59% 38.90% 22.60% 17.89 1.60 1.85% 上证中小 3038.63-26.04% 0.49% -10.28% -15.07% -28.21% -32.58% 36.90% 20.08% 15.32 1.49 2.21% 上证全指 2703.00-20.37% -0.14% -8.09% -9.51% -20.72% -16.54% 36.05% 19.27% 12.01 1.28 2.87% 上证 100 4405.30-28.96% -0.70% -12.72% -20.09% -30.81% -35.56% 39.16% 23.12% 14.98 2.12 2.37% 上证 150 3302.22-36.65% 1.09% -10.53% -19.73% -42.12% -51.88% 38.16% 21.62% 28.09 1.98 0.95% 市值百强 2411.42-15.49% -0.65% -6.67% -5.43% -14.00% -0.42% 35.91% 20.05% 10.74 1.18 3.21% 上证能源 1427.30-14.20% -0.58% -7.57% -0.30% -12.43% -13.47% 37.39% 23.36% 20.72 1.20 3.79% 上证材料 1713.17-24.75% 1.19% -10.14% -17.72% -23.33% -8.34% 38.11% 23.84% 14.58 1.61 2.51% 上证工业 1816.79-24.93% 1.69% -6.40% -8.73% -26.85% -37.01% 34.82% 18.95% 12.87 1.28 2.11% 上证可选 2014.14-31.35% -0.56% -16.13% -20.76% -32.97% -35.86% 39.56% 20.60% 13.20 1.58 3.64% 上证消费 6837.52-24.89% -3.78% -18.63% -21.84% -22.43% 12.41% 49.03% 27.63% 26.10 4.87 2.05% 上证医药 5655.37-19.65% 2.23% -13.89% -20.45% -19.41% -8.16% 38.32% 26.60% 25.19 3.11 1.22% 上证金融 4764.48-9.66% -0.46% -1.52% 2.63% -8.02% 12.47% 35.58% 21.94% 8.05 0.97 3.44% 上证信息 2411.78-32.24% 2.07% -14.06% -20.54% -35.00% -49.25% 46.23% 31.27% 32.25 3.50 0.99% 上证电信 2288.66-33.65% -2.08% -15.25% -15.94% -35.56% -22.50% 40.77% 28.52% 40.40 1.52 0.73% 上证公用 1761.21-15.62% 1.12% -7.04% -9.63% -19.66% -36.58% 28.72% 14.54% 18.63 1.61 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 5802.76-20.05% 1.20% -2.99% -6.39% -17.59% -5.25% 40.89% 26.91% 8.45 1.21 3.26% 综合指数 2570.79-16.26% -0.47% -3.42% -2.23% -17.44% -10.37% 33.30% 19.42% 9.10 1.05 3.04% B 股指数 273.79-19.90% 1.24% -5.66% -6.53% -21.91% -23.64% 33.71% 16.19% 9.52 1.04 0.42% 商业指数 2259.36-29.41% 2.21% -5.79% -14.79% -37.47% -53.93% 42.06% 22.95% 13.81 1.33 1.90% 公用指数 4511.75-24.27% 1.49% -6.47% -9.51% -28.60% -36.42% 34.97% 18.15% 14.84 1.24 2.24% 12/25

新综指 2197.68-21.30% 0.15% -7.75% -9.51% -23.30% -23.07% 34.63% 18.37% 12.91 1.35 2.59% 上证指数 2602.78-21.30% 0.15% -7.75% -9.51% -23.30% -23.05% 34.61% 18.35% 12.90 1.35 2.58% A 股指数 2725.67-21.30% 0.15% -7.75% -9.52% -23.30% -23.05% 34.62% 18.36% 12.91 1.35 2.59% 上证流通 935.19-23.22% 0.12% -8.32% -10.91% -24.77% -23.22% 35.84% 19.06% 12.91 1.35 2.59% 中证流通 3729.11-28.07% 0.17% -9.31% -14.33% -30.56% -30.41% 36.60% 20.13% 14.90 1.53 2.13% 中型综指 834.15-33.72% 1.56% -9.81% -18.11% -39.08% -48.49% 38.28% 22.13% 26.60 2.32 1.02% 工业指数 2020.30-23.45% 0.15% -11.43% -14.08% -25.03% -25.36% 36.16% 19.58% 19.10 1.77 2.32% 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 黄金采掘 9 1,752 902 863.17-27.86% -2.16% 3.97% -7.48% -26.07% -21.27% 31.46 2.27 中证证保 40 29,471 16,488 790.16-21.25% 0.44% -0.27% -0.96% -24.41% -16.31% 16.83 1.56 800 证保 45 30,620 16,963 4847.73-21.72% 0.41% -0.56% -1.60% -25.03% -17.04% 16.53 1.56 上证银行 22 63,189 18,091 818.81-5.86% -0.06% -0.61% 3.53% -5.26% 8.24% 6.90 0.84 内地银行 25 66,068 19,531 5917.45-6.56% -0.16% -0.70% 3.96% -5.13% 9.67% 6.96 0.84 180 金融 47 88,193 32,676 4814-11.10% -0.37% -1.35% 1.88% -10.94% 6.85% 8.23 0.97 800 金融 70 96,688 36,494 5564.09-12.68% -0.25% -1.35% 1.91% -12.81% 2.21% 8.52 0.98 内地金融 50 93,399 34,679 5938.37-12.00% -0.40% -1.64% 1.97% -11.67% 4.10% 8.35 0.98 细分金融 50 94,337 34,648 5654.17-11.99% -0.41% -1.65% 1.98% -11.65% 3.71% 8.40 0.98 中证煤炭 29 7,493 2,030 1306.88-26.04% -1.52% -2.44% -3.84% -26.05% -11.21% 10.23 1.17 煤炭指数 29 7,641 2,124 2240.72-22.96% -1.61% -2.53% -1.52% -21.68% -8.71% 10.35 1.18 上证周期 50 116,432 36,971 2956.54-12.36% -0.32% -2.85% 0.79% -10.05% 6.39% 9.69 1.05 300 非银 35 29,208 16,304 8338.93-18.06% -0.74% -2.86% -0.26% -19.14% -3.76% 16.35 1.57 煤炭等权 29 7,493 2,030 1670.3-27.42% -1.17% -2.96% -6.92% -28.76% -14.06% 10.23 1.17 300 周期 125 150,469 51,128 3294.49-15.99% 0.02% -3.22% -1.50% -14.71% -1.03% 10.10 1.08 上证央企 50 110,844 26,132 1436.65-13.38% 0.08% -3.53% -1.97% -12.49% -8.22% 10.64 1.09 上证海外 49 111,268 31,512 1198.43-13.17% -0.20% -3.53% -0.22% -10.86% 6.49% 10.41 1.09 细分地产 50 14,297 6,437 5182.15-25.35% 1.20% -3.59% -6.58% -22.42% -18.57% 9.49 1.37 内地地产 46 13,547 6,262 5496.1-24.63% 1.19% -3.96% -6.94% -22.10% -16.89% 9.35 1.35 中证钢铁 39 7,041 2,917 1132.02-20.53% 0.44% -4.45% -10.70% -22.41% -17.25% 9.86 1.18 钢铁产业 15 5,195 1,985 809.26-17.30% 0.68% -4.60% -9.50% -19.47% -11.02% 9.71 1.03 13/25

上证沪企 50 28,740 12,494 1918.11-19.64% 0.07% -4.72% -6.80% -22.78% -22.33% 10.31 1.16 船舶产业 2 1,315 562 1191.48-28.51% 1.25% -4.72% 3.59% -30.81% -60.15% 64.47 1.18 沪投资品 50 18,850 7,166 3429.21-29.59% 0.85% -4.83% -6.67% -29.46% -26.61% 16.37 1.53 沪互金融 20 15,415 10,953 1989.09-24.31% 0.91% -4.91% -8.54% -29.29% -43.82% 10.25 1.31 保险主题 20 38,405 14,163 2027.66-17.92% -3.01% -5.11% -0.81% -16.17% 28.57% 15.45 1.26 央企 100 100 128,188 32,876 1540.61-16.91% 0.17% -5.20% -5.56% -16.43% -11.67% 11.26 1.14 上证国企 100 153,047 45,922 910.36-15.83% -0.47% -5.74% -5.38% -15.57% -7.61% 10.63 1.13 优势资源 46 26,036 4,973 3019.6-28.05% 0.94% -5.85% -9.80% -28.32% -10.08% 23.80 1.37 中证保险 20 19,617 10,978 1940.09-17.72% -3.38% -5.88% -2.81% -16.94% 22.09% 13.42 1.55 ESG 40 40 76,786 24,403 1261.66-18.91% 0.09% -5.92% -7.75% -17.71% -8.66% 8.55 1.03 城镇基建 100 27,310 12,107 1398.72-24.88% 1.85% -6.16% -9.43% -25.56% -22.67% 9.87 1.20 互联金融 82 24,325 15,663 2191.66-21.49% 0.74% -6.18% -9.48% -26.13% -42.58% 12.35 1.40 中证央企 343 146,018 41,111 1612.26-20.33% 0.38% -6.23% -7.45% -21.29% -21.19% 11.84 1.18 180 治理 100 131,146 43,599 858.4-15.82% -0.46% -6.27% -4.83% -14.84% -3.47% 10.93 1.16 沪城基建 50 17,846 7,575 1384.59-22.23% 2.27% -6.29% -9.47% -23.18% -27.39% 9.40 1.11 高铁产业 26 6,152 2,392 1430.95-28.22% 3.82% -6.36% -8.64% -33.44% -48.95% 14.46 1.31 细分农业 50 6,335 3,046 3730.46-25.95% 0.61% -6.37% -11.81% -28.17% -35.07% 20.61 2.63 责任指数 100 71,228 33,244 1269.92-15.54% -0.69% -6.45% -4.70% -14.10% 5.11% 10.45 1.25 治理指数 295 153,510 53,577 908.92-17.98% -0.17% -6.63% -6.38% -18.01% -11.55% 11.46 1.17 180 基建 23 19,943 6,709 1621.35-15.08% 1.18% -6.71% -8.43% -21.27% -24.98% 12.92 1.30 持续产业 40 11,337 4,475 871.01-27.07% 0.70% -6.73% -9.73% -29.63% -32.95% 16.53 1.78 上证基建 47 10,883 3,903 7296.25-24.28% 2.91% -6.78% -8.16% -27.97% -38.55% 12.72 1.19 物流产业 29 9,028 2,435 1039.19-28.37% -0.39% -6.78% -11.68% -35.03% -51.69% 14.99 1.59 180 资源 19 28,895 4,255 2261.01-23.59% 0.53% -6.89% -6.80% -20.90% -4.12% 22.16 1.30 沪长三角 49 28,238 12,014 2613.1-23.65% -0.73% -7.06% -9.65% -25.66% -19.39% 10.74 1.27 上证资源 50 33,471 6,084 1692.63-24.86% 0.64% -7.13% -8.52% -24.77% -12.89% 21.54 1.31 中证服务 300 172,574 66,092 3362.14-23.10% 0.60% -7.23% -10.54% -24.63% -31.82% 10.44 1.17 国企 200 200 194,237 64,268 949.46-19.47% -0.50% -7.25% -8.82% -19.51% -9.37% 11.32 1.21 300 基建 34 23,663 7,990 1762.99-17.01% 1.30% -7.42% -9.29% -22.64% -26.28% 13.58 1.29 内地基建 50 26,180 8,958 1657.82-19.51% 1.10% -7.45% -9.93% -24.77% -30.54% 13.78 1.27 优势制造 50 11,512 5,172 4599.32-31.47% 1.30% -7.63% -8.56% -34.74% -50.63% 26.56 1.75 上证上游 55 33,610 6,178 1929.94-24.46% 0.55% -7.64% -8.22% -24.07% -14.25% 21.51 1.31 基建工程 50 11,837 4,727 4029.52-30.36% 2.24% -7.77% -12.67% -36.29% -38.85% 9.84 1.06 细分能源 50 29,730 4,374 1825.45-17.36% -0.39% -7.78% -2.41% -17.18% -18.43% 20.36 1.21 中证基建 71 12,606 4,870 6699.69-26.88% 2.56% -7.95% -10.87% -30.63% -38.45% 13.25 1.19 14/25

300 公运 34 19,610 6,139 1262.77-21.90% 0.72% -8.06% -11.88% -23.65% -34.15% 15.42 1.57 上证地企 50 42,202 19,790 953.13-18.60% -1.02% -8.16% -9.22% -19.14% -6.20% 10.59 1.28 ESG 100 100 134,225 49,557 991.98-22.17% 0.02% -8.17% -10.48% -22.07% -8.58% 9.49 1.17 中证国企 1045 251,144 90,848 1019.98-23.02% -0.10% -8.18% -10.96% -24.71% -21.54% 12.33 1.26 沪股通 573 234,109 85,921 2508.41-20.36% -0.13% -8.19% -9.66% -20.64% -16.28% 12.02 1.30 长三角 50 35,385 15,240 3457.4-24.88% -0.43% -8.20% -12.26% -26.92% -17.87% 12.32 1.50 稀土产业 30 3,651 1,938 919.09-43.28% 5.08% -8.21% -17.18% -45.18% -43.66% 28.17 1.66 A 股资源 50 35,221 7,060 3349.33-28.98% 0.62% -8.37% -10.66% -30.41% -15.86% 21.40 1.32 内地资源 50 33,887 6,723 2191.5-27.53% 0.70% -8.42% -10.59% -28.51% -11.57% 21.89 1.32 沪新丝路 52 42,359 10,374 1252.54-22.54% 1.28% -8.59% -7.46% -25.95% -35.84% 18.60 1.25 中证核电 45 6,463 2,578 2006.8-29.92% 1.19% -8.62% -13.45% -36.56% -49.78% 17.64 1.33 上证环保 40 10,097 3,969 997.33-35.93% 0.84% -8.63% -17.38% -40.10% -47.92% 17.73 1.98 中证上游 50 35,000 7,019 2117.05-26.52% 0.65% -8.69% -9.62% -27.16% -13.89% 21.97 1.32 内地运输 38 12,957 4,105 1339.85-27.96% 0.37% -8.70% -13.01% -28.82% -39.48% 15.01 1.54 180 运输 9 6,206 2,119 904.74-27.02% 1.56% -8.77% -13.04% -24.01% -27.67% 12.86 1.54 装备产业 86 17,416 8,489 1395.92-30.96% 0.99% -8.96% -11.57% -33.52% -45.91% 24.61 1.77 CS 能源互 42 5,817 3,308 1092.26-37.63% 0.59% -9.02% -13.72% -39.73% -43.01% 19.44 1.87 沪珠三角 49 36,272 21,037 5259.05-16.29% -1.63% -9.04% -6.70% -10.68% 20.14% 12.68 1.72 沪互联网 99 26,529 15,612 1576.74-23.33% 0.02% -9.06% -10.08% -26.46% -31.12% 13.85 1.51 大宗商品 95 40,625 10,203 3148.62-32.64% 1.07% -9.15% -15.31% -34.32% -22.13% 19.43 1.35 上证商品 50 34,595 6,830 1515.77-25.21% 0.45% -9.15% -12.08% -25.14% -14.02% 19.97 1.34 细分机械 50 12,770 6,163 3095.4-32.44% 0.96% -9.21% -12.58% -33.90% -45.28% 21.22 1.67 沪环渤海 46 72,589 12,673 2107.78-14.47% -0.06% -9.28% -10.31% -14.94% -8.93% 11.76 1.17 环渤海 51 75,267 14,109 2227.91-18.71% -0.01% -9.28% -11.96% -20.06% -10.87% 11.89 1.19 地企 100 100 66,049 31,392 977.72-21.86% -1.16% -9.28% -11.97% -22.43% -5.93% 11.44 1.38 上证高新 50 7,044 3,671 1154.69-25.95% 2.77% -9.31% -17.30% -27.89% -37.69% 42.82 3.66 一带一路 79 45,913 12,608 1296.67-25.48% 0.67% -9.37% -9.50% -28.30% -35.21% 18.24 1.27 有色产业 36 7,361 3,752 1441.09-36.75% 1.76% -9.38% -16.76% -38.93% -19.31% 28.38 1.91 精工制造 200 49,489 20,489 2111.58-33.12% 0.89% -9.41% -13.65% -35.57% -44.57% 15.37 1.49 混合改革 72 47,878 12,193 1400.69-25.42% 0.93% -9.42% -13.22% -26.20% -29.85% 20.10 1.47 细分有色 50 8,498 4,239 3576.74-37.60% 1.52% -9.46% -18.14% -39.95% -23.09% 28.11 1.92 中证传媒 50 10,260 4,175 1097.54-36.40% 0.82% -9.51% -19.70% -38.96% -63.08% 21.92 2.48 高端装备 60 11,438 5,023 5166.07-34.72% 1.22% -9.56% -13.43% -39.49% -53.54% 27.26 1.77 沪中部 38 8,601 3,843 2761.69-26.01% 0.87% -9.67% -18.00% -27.82% -20.98% 13.71 1.53 300 有色 18 5,956 2,790 2629.1-36.65% 1.23% -9.68% -17.41% -37.04% -16.70% 25.34 2.04 15/25

沪西部 38 14,888 7,109 4332.05-27.42% -1.10% -9.73% -12.31% -27.72% -20.13% 17.50 2.58 中证地企 702 105,126 49,738 1050.3-25.07% -0.49% -9.74% -13.66% -27.33% -21.59% 13.08 1.39 资源 50 50 35,720 7,226 2158.83-24.07% 0.21% -9.78% -12.98% -23.29% -10.50% 19.91 1.36 CS 汽车 AM 77 16,623 10,935 1576.46-31.32% 0.37% -9.79% -15.37% -34.68% -38.59% 14.35 1.90 有色金属 50 9,623 4,689 3266.92-37.29% 1.67% -9.80% -18.62% -40.03% -21.89% 25.09 2.06 上证中游 172 40,380 18,074 2197.79-27.29% 1.17% -9.87% -14.64% -28.90% -35.57% 14.15 1.44 泛珠三角 51 47,979 28,297 7365.56-20.55% -2.97% -9.87% -10.44% -15.20% 30.45% 13.07 1.94 上证龙头 73 120,590 37,643 2635.24-25.21% 0.45% -9.96% -13.09% -25.15% -18.49% 12.11 1.36 上证军工 15 3,684 1,620 5077.2-28.53% 0.15% -10.13% -9.79% -33.28% -56.38% 52.85 1.80 资源优选 200 59,626 18,085 1901.82-27.78% 0.63% -10.13% -15.39% -28.98% -22.54% 16.91 1.39 CS 上海 46 9,696 4,321 1755.11-30.21% 0.85% -10.17% -15.51% -36.78% -50.09% 14.30 1.47 互联网 150 49,825 26,747 2082.36-29.87% -0.20% -10.19% -15.08% -32.00% -35.91% 16.37 1.76 民企 200 200 65,957 31,191 1293.27-29.12% 0.28% -10.30% -16.75% -29.77% -29.17% 18.94 2.34 CS 西部 32 3,175 1,665 970.1-34.94% 1.20% -10.31% -12.99% -39.50% -39.75% 13.37 1.50 中部崛起 46 11,995 5,111 2710.28-26.58% 0.93% -10.34% -16.86% -27.83% -20.96% 14.76 1.69 CS 广东 39 8,738 3,882 1322.32-27.24% -0.05% -10.41% -14.46% -27.41% -34.97% 12.33 1.53 中证民企 2338 167,554 77,924 1467.36-33.94% 0.79% -10.45% -18.59% -37.56% -41.16% 21.46 2.19 上证新兴 50 32,752 13,432 5718.91-21.63% 1.06% -10.51% -14.44% -24.86% -26.97% 17.77 1.81 CS 稀金属 18 2,856 1,331 989.53-36.40% 5.82% -10.55% -20.49% -42.06% -7.99% 35.52 2.83 CS 福建 24 6,983 4,001 1322.61-32.06% 0.96% -10.59% -17.41% -36.92% -37.77% 8.97 1.06 浙企综指 406 31,967 13,609 4810.96-33.71% 1.07% -10.63% -19.52% -36.80% -38.61% 19.88 2.02 上证健康 50 11,326 6,551 1018.16-27.95% 0.67% -10.66% -17.61% -31.65% -32.40% 23.31 3.12 中证新能 80 12,985 6,567 1160.7-37.08% 0.97% -10.66% -15.89% -40.11% -40.64% 20.72 1.83 上国改革 50 61,315 14,605 1302.04-22.84% 0.18% -10.73% -13.47% -23.22% -24.23% 9.01 1.08 CS 京津冀 48 6,134 2,832 1344.01-39.21% 0.93% -10.73% -18.83% -44.28% -42.05% 12.10 1.15 中证中游 250 63,567 29,555 2393.18-32.28% 0.74% -10.75% -17.10% -34.43% -33.35% 15.43 1.59 沪城交通 50 15,813 6,248 1604.95-25.88% 1.60% -10.77% -11.14% -29.23% -36.23% 13.48 1.45 上证民企 50 20,467 10,623 1347.38-25.90% 1.39% -10.83% -14.98% -25.58% -18.97% 14.30 1.84 中证高装 200 34,909 17,367 3309.58-35.87% 0.66% -10.85% -16.74% -38.76% -43.22% 23.91 1.94 智能资产 180 15,829 8,254 6732.34-31.62% 1.02% -10.88% -19.02% -36.31% -39.33% 21.99 2.45 内地低碳 50 14,693 6,507 923.82-36.12% 0.03% -10.89% -18.79% -38.88% -34.04% 17.43 1.96 资源 80 80 42,017 10,395 2506.36-28.48% 0.56% -11.04% -15.40% -29.06% -14.10% 19.77 1.40 国企改革 100 77,467 22,617 1218.25-24.92% 0.09% -11.04% -14.03% -25.34% -26.98% 9.90 1.20 中证高新 100 9,709 5,256 1178.55-27.97% 1.57% -11.10% -17.96% -30.84% -41.14% 49.83 3.73 中证新兴 100 58,514 26,231 6076.81-28.48% 0.86% -11.10% -16.77% -30.97% -32.72% 18.72 2.11 16/25

新能源 50 10,386 5,283 1094.59-36.81% 0.93% -11.11% -14.76% -40.21% -38.42% 20.68 1.89 浙江民企 348 23,014 9,957 5334.16-35.30% 1.22% -11.13% -20.46% -38.46% -43.11% 21.61 2.14 医药主题 50 10,975 5,519 8161.96-20.24% 1.60% -11.15% -18.77% -21.97% -25.35% 25.53 3.14 上证养老 40 27,324 15,074 7009.53-28.41% 0.36% -11.16% -18.70% -30.60% -30.72% 20.36 2.69 医药 100 100 22,512 11,005 10525.24-22.46% 1.67% -11.17% -19.85% -24.12% -28.27% 27.82 3.48 中证 TMT 100 27,541 13,438 1341.6-32.89% 1.63% -11.25% -18.67% -36.66% -48.72% 25.00 2.29 环保 50 50 13,052 5,597 1190.83-41.57% 0.32% -11.34% -20.75% -42.80% -38.49% 16.71 1.96 中证军工 47 6,639 3,197 6551.85-25.08% 0.39% -11.35% -12.44% -29.40% -53.46% 52.37 2.13 军工指数 48 7,110 3,567 858.61-26.59% 0.59% -11.36% -12.50% -31.58% -55.10% 52.67 2.12 中小医疗 119 6,986 3,512 8511.58-28.63% 1.66% -11.36% -19.59% -32.64% -47.88% 28.94 2.45 中证环保 100 17,304 7,867 1044.68-39.94% 0.65% -11.40% -20.90% -43.83% -47.96% 17.25 1.84 中证国防 30 4,754 2,272 966.39-25.00% 0.15% -11.42% -12.22% -29.55% -54.46% 45.88 2.54 电子产业 134 34,426 18,260 2579.34-33.24% -0.57% -11.42% -19.83% -34.48% -26.75% 22.39 2.60 300 消服 16 10,651 6,420 6163.23-26.29% -3.73% -11.46% -19.73% -24.95% 7.35% 15.53 2.52 中证体育 18 1,515 713 1130.13-35.04% 1.31% -11.47% -19.29% -42.64% -64.27% 17.41 2.64 非周民企 100 40,239 19,780 1094.27-30.12% -0.15% -11.48% -17.93% -30.82% -26.78% 22.96 2.97 中证软件 100 12,944 6,292 5227.37-28.45% 1.67% -11.54% -18.04% -31.61% -56.19% 32.83 2.90 CS 轻资产 100 75,223 37,653 4349.29-25.93% -1.22% -11.63% -16.46% -25.26% -8.97% 21.47 2.53 沪东北 32 6,174 3,723 2663.63-34.87% 0.89% -11.64% -16.28% -36.52% -34.71% 18.24 1.75 石化产业 59 34,554 6,813 987.85-23.93% -0.11% -11.64% -14.94% -23.11% -14.56% 18.43 1.30 中证海洋 85 10,970 4,467 915-33.35% 0.84% -11.68% -16.29% -38.63% -53.12% 24.91 1.55 上证 TMT 49 11,263 4,788 1290.57-33.08% 1.60% -11.69% -19.14% -38.35% -52.95% 28.50 2.09 钱江 30 30 10,474 4,154 960.82-31.37% 0.46% -11.69% -21.78% -30.66% -24.19% 18.29 2.88 沪大农业 50 6,325 2,837 1075.55-21.77% -0.43% -11.88% -17.28% -24.84% -26.31% 24.08 2.65 健康产业 100 24,528 12,959 1366.16-32.25% 1.15% -12.02% -20.12% -34.98% -33.22% 23.73 3.17 沪智慧城 50 8,326 4,528 1549.06-25.39% 0.74% -12.07% -13.44% -28.72% -45.72% 20.89 1.96 东北振兴 39 6,803 3,965 2922.94-33.00% 0.87% -12.21% -15.60% -36.21% -39.08% 15.16 1.49 信息产业 100 28,962 13,817 3484.76-36.58% 0.29% -12.25% -21.11% -39.27% -44.44% 24.65 2.48 中证安全 100 12,090 5,513 1789.37-36.79% 1.53% -12.37% -21.91% -39.12% -41.57% 25.63 2.65 上证休闲 50 5,294 2,245 709.64-32.46% 2.51% -12.38% -19.11% -39.04% -57.86% 19.46 1.90 CS 土改农 26 2,267 1,062 692.75-31.08% 0.99% -12.41% -18.96% -37.77% -49.11% 18.29 1.37 上证文化 50 5,200 2,261 1069.92-32.63% 2.43% -12.43% -19.03% -39.38% -57.45% 19.26 1.90 沪智家居 50 5,391 2,807 1745.24-37.18% 1.37% -12.43% -21.68% -39.63% -50.15% 20.06 2.04 西部开发 46 19,265 7,951 5115.72-29.97% -2.50% -12.44% -17.02% -29.41% -18.33% 16.77 2.24 消费服务 100 125,854 46,873 6346.05-19.75% -1.34% -12.47% -15.66% -18.57% -7.14% 10.81 1.32 17/25

消费领先 100 106,600 41,029 6323.85-18.74% -0.66% -12.48% -14.17% -19.66% -10.12% 10.07 1.23 中证医疗 39 4,212 2,142 6271.46-9.67% 1.35% -12.52% -17.07% -13.04% -40.91% 49.33 4.49 TMT 150 150 34,105 16,381 1247.68-35.06% 0.25% -12.55% -20.57% -38.59% -45.15% 25.00 2.28 城镇交通 100 26,652 11,952 1574.58-33.08% 0.92% -12.60% -16.24% -36.40% -37.46% 15.71 1.75 300 信服 44 19,700 9,357 1489.41-36.98% -0.06% -12.70% -21.21% -39.04% -42.00% 25.95 2.68 智能家居 100 24,978 14,312 1799.68-35.64% 1.12% -12.83% -21.64% -38.93% -46.92% 19.06 2.42 中证城镇 250 98,277 46,548 1471.49-31.61% 0.16% -12.87% -19.27% -32.53% -23.23% 15.38 2.05 沪信息业 50 11,435 4,914 3031.21-29.99% 0.88% -12.90% -16.44% -33.79% -45.13% 29.10 2.20 细分医药 50 16,299 7,903 8210.32-19.17% 2.20% -12.99% -19.05% -18.20% -4.55% 26.73 3.62 中证中药 50 6,989 3,427 8305.44-25.18% 1.68% -13.01% -22.36% -29.50% -29.55% 21.84 2.53 CS 电子 100 17,552 8,791 3858.5-38.24% 0.81% -13.02% -24.15% -42.01% -32.97% 23.26 2.36 内地农业 31 8,171 4,491 3991.79-27.88% -0.52% -13.08% -14.98% -25.28% -17.21% 22.42 2.88 上证城镇 243 66,481 29,938 1511.87-27.97% 0.58% -13.15% -17.72% -29.20% -28.32% 14.78 1.79 机器人 45 4,459 2,141 952.08-30.24% 1.26% -13.15% -17.75% -35.05% -47.31% 28.88 2.27 军工信息 150 17,576 9,012 1639.54-29.15% 0.95% -13.23% -17.73% -33.38% -50.18% 41.18 2.45 沪智交通 17 2,032 1,253 1254.99-27.92% 1.04% -13.24% -17.27% -32.53% -52.60% 34.86 1.98 CS 休闲娱 100 10,980 4,903 3005.16-37.42% 0.14% -13.25% -23.14% -41.99% -61.71% 19.08 1.94 农业主题 40 7,042 3,855 1004.52-20.30% -0.85% -13.32% -16.24% -22.00% -20.00% 24.29 3.28 工业 4.0 27 11,215 5,827 1602.18-35.24% 1.40% -13.34% -19.23% -40.56% -49.19% 23.03 2.90 智慧城镇 100 20,692 11,135 1565.55-32.55% 0.75% -13.44% -19.32% -34.63% -45.83% 22.56 2.26 300 非周 175 101,887 44,822 3231.46-27.42% -1.35% -13.46% -18.67% -27.61% -19.99% 17.87 2.18 医药生物 100 22,284 10,660 8125.35-20.88% 2.07% -13.57% -21.29% -20.72% -17.59% 27.81 3.46 中证安防 36 4,310 2,073 1580.46-37.74% 0.98% -13.58% -21.67% -43.52% -51.03% 27.09 3.32 中小国改 100 13,064 6,234 1152.37-29.99% 0.29% -13.58% -18.18% -32.72% -43.09% 22.76 1.91 CS 智慧农 29 2,585 1,592 941.89-26.30% 0.75% -13.69% -20.50% -30.87% -46.62% 20.53 1.67 中证文体 100 12,910 6,121 1343.63-36.71% 0.53% -13.75% -23.16% -39.77% -60.82% 22.02 2.12 非周期 100 59,372 24,922 2267.93-22.18% -0.82% -13.76% -16.22% -22.88% -19.25% 16.34 1.86 中证汽车 100 12,667 5,308 3685.93-36.31% -0.66% -13.76% -18.60% -39.25% -37.46% 11.93 1.43 新材料 50 9,548 5,234 2155.35-39.39% 1.61% -13.77% -23.04% -42.40% -21.23% 16.92 2.04 文体休闲 50 10,180 4,635 781.65-34.89% 0.45% -13.83% -23.12% -36.64% -57.06% 21.63 2.36 中证文化 50 10,071 4,629 1399.75-35.47% 0.52% -13.84% -23.04% -37.28% -58.63% 21.61 2.38 CS 计算机 100 11,704 6,204 5190.19-27.17% 1.02% -13.98% -19.31% -30.99% -48.69% 34.71 3.08 中证旅游 21 2,798 1,338 2881.28-27.90% -0.05% -14.20% -23.54% -31.65% -38.94% 17.18 2.20 信息安全 100 11,651 6,187 1145.27-29.30% 0.77% -14.28% -18.19% -30.53% -47.20% 37.38 2.84 CS 智消费 100 28,024 14,998 1824.28-31.75% -0.28% -14.35% -21.68% -33.91% -30.46% 17.00 2.19 18/25

中证下游 200 80,627 35,735 4240.39-26.01% -1.73% -14.49% -19.66% -24.98% -18.07% 19.10 2.42 移动互联 100 27,960 14,412 1674.08-33.46% -0.44% -14.61% -21.46% -37.58% -45.91% 24.39 3.13 纺织产业 22 4,068 1,452 1342.22-30.26% -1.65% -14.71% -19.78% -33.26% -45.03% 20.66 1.82 细分化工 50 9,976 4,554 2498.6-29.27% -0.07% -14.83% -22.42% -30.87% -31.40% 14.97 1.88 绿色城镇 100 18,627 8,723 1183.44-40.09% 0.24% -14.94% -23.32% -44.12% -37.10% 13.95 1.76 智能交通 50 8,783 4,738 1746.59-34.55% 0.55% -14.95% -19.95% -36.82% -39.09% 25.89 2.57 沪绿色城 50 10,648 4,454 1364.01-33.23% 0.56% -15.00% -21.26% -35.57% -26.92% 12.66 1.67 汽车产业 33 9,748 3,570 3059.71-34.91% -1.42% -15.06% -17.23% -35.99% -28.23% 11.40 1.41 上证移动 50 11,700 6,003 1436.7-33.51% -0.91% -15.14% -19.73% -36.76% -48.01% 20.62 2.24 上证下游 178 51,614 21,898 3140.29-25.23% -1.16% -15.67% -19.43% -25.41% -19.84% 18.37 2.15 城镇消费 100 55,579 26,004 1442.14-26.10% -2.67% -15.86% -20.74% -23.84% -0.84% 19.05 2.90 CS 新能车 37 5,774 3,097 1342.88-40.34% -0.22% -16.46% -24.68% -46.61% -43.70% 21.44 2.62 优势消费 50 21,172 10,688 5316.27-23.07% -0.42% -16.58% -22.14% -22.29% -5.03% 25.25 4.20 沪消费品 50 19,672 9,393 6413.11-24.36% -0.54% -16.80% -23.98% -23.84% -5.53% 24.60 3.88 上证汽车 50 8,331 2,983 3687.65-36.41% -0.83% -16.86% -21.09% -38.60% -31.41% 11.24 1.42 轻工产业 68 28,737 15,140 3390.94-29.46% -4.24% -16.93% -22.26% -26.76% 15.69% 18.76 3.35 沪城消费 50 29,575 13,684 1403.56-24.99% -1.35% -17.15% -20.05% -24.24% -5.52% 18.32 2.77 消费 80 80 33,491 15,359 3633.84-25.00% -1.33% -17.16% -21.01% -23.84% -5.95% 18.76 2.69 内地消费 50 37,347 17,561 6092.51-28.82% -4.81% -17.18% -21.44% -25.56% 4.96% 16.63 2.74 消费 50 50 24,269 10,574 5583.44-27.80% -2.46% -17.41% -20.60% -27.24% -12.47% 17.13 2.42 CS 食品饮 85 20,111 9,354 9079.21-25.79% -4.26% -21.05% -24.68% -23.16% 14.17% 25.15 4.45 食品饮料 50 18,889 8,675 10671.85-25.76% -5.26% -22.13% -25.11% -21.07% 29.75% 25.37 4.58 细分食品 50 18,254 8,609 10572.34-26.12% -5.52% -22.41% -25.89% -21.18% 31.81% 25.33 4.50 中证酒 27 13,197 5,710 2451.29-29.35% -5.95% -25.17% -32.54% -27.17% 15.74% 24.11 4.49 中证白酒 17 12,300 5,285 4158.25-30.62% -7.67% -27.63% -33.82% -26.37% 55.30% 23.52 5.01 表 4: 风格指数市场数据 19/25

指数收益 指数波动 指数绩效 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率 Sharpe Jensen Treynor 180R 价值 2696.18-13.76% 0.18% -3.83% -2.73% -13.70% -2.73% 33.56% 19.13% -0.85 0.10-0.20 180 价值 3753.81-11.20% -0.41% -4.19% -1.67% -9.40% 9.99% 33.03% 19.73% -0.60 0.12-0.16 全 R 价值 3133.95-16.52% 0.26% -5.07% -5.11% -16.65% -9.46% 34.05% 18.80% -1.02 0.09-0.22 300R 价值 3527.39-16.64% -0.09% -5.12% -5.08% -15.69% 1.52% 35.08% 19.86% -0.92 0.10-0.21 300 价值 4367.62-13.75% -0.74% -5.31% -4.12% -11.10% 16.64% 33.95% 20.61% -0.66 0.13-0.17 全指价值 3699.77-13.40% -0.34% -5.47% -3.94% -11.58% 6.45% 33.50% 19.45% -0.72 0.12-0.17 800R 价值 4056.60-19.51% -0.07% -6.41% -7.31% -19.37% -7.84% 35.60% 19.58% -1.12 0.08-0.24 800 价值 4872.07-17.64% -0.57% -6.52% -6.86% -15.82% 5.85% 34.68% 20.32% -0.90 0.11-0.21 180 成长 2797.78-17.37% -1.18% -9.44% -9.40% -14.61% 4.92% 36.18% 20.17% -0.85 0.11-0.20 500 价值 6531.26-26.84% 0.43% -9.69% -15.45% -27.45% -23.32% 38.34% 22.68% -1.32 0.05-0.28 380 价值 6272.89-25.01% 0.46% -9.84% -15.33% -25.46% -25.23% 37.54% 22.66% -1.23 0.07-0.26 500R 价值 5019.43-28.87% 0.87% -9.97% -15.63% -31.45% -35.01% 39.27% 22.27% -1.52 0.01-0.32 380R 价值 4814.43-28.20% 0.74% -10.40% -16.47% -29.88% -33.52% 37.70% 22.21% -1.46 0.02-0.31 全指成长 3131.55-20.17% -1.36% -10.83% -11.64% -17.82% -1.15% 38.57% 21.12% -0.96 0.11-0.21 180R 成长 1673.98-22.06% -0.76% -11.08% -12.78% -20.95% -12.19% 38.90% 21.10% -1.11 0.09-0.24 300 成长 3466.99-22.79% -1.84% -11.11% -13.69% -20.59% -2.73% 37.65% 21.80% -1.06 0.09-0.24 500 成长 4761.92-34.24% 0.85% -11.52% -19.76% -37.42% -36.85% 38.23% 23.19% -1.72-0.04-0.37 800 成长 3634.08-27.62% -1.13% -11.85% -16.68% -26.67% -13.13% 38.88% 22.44% -1.30 0.06-0.27 500R 成长 3808.84-34.14% 0.95% -11.97% -19.51% -37.90% -43.68% 39.27% 23.39% -1.73-0.05-0.37 全 R 成长 2208.68-25.36% -0.75% -12.32% -15.47% -26.03% -24.91% 39.74% 21.32% -1.34 0.06-0.27 300R 成长 2526.72-28.03% -1.40% -12.55% -17.05% -28.30% -25.17% 38.78% 22.10% -1.39 0.04-0.29 380 成长 4191.43-28.38% 0.12% -12.68% -18.49% -29.78% -33.47% 40.76% 23.97% -1.35 0.05-0.29 800R 成长 2686.46-30.88% -0.59% -12.72% -18.98% -32.59% -33.79% 38.40% 22.18% -1.58 0.00-0.33 380R 成长 3155.90-31.89% 0.44% -13.41% -20.08% -34.36% -42.08% 40.61% 23.78% -1.55 0.00-0.33 20/25

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 5685.94 62,706 18,272 2,459-9.17% -0.03% -1.30% 1.51% -7.84% 5.99% 3.99% 3.92% 金融红利 6831.62 68,724 21,134 2,648-12.93% 0.46% -1.40% 0.03% -12.14% 3.54% 3.92% 3.85% 上央红利 1868.45 75,527 18,296 3,318-8.40% 0.54% -3.46% -1.51% -8.76% -5.77% 4.39% 4.39% 央企红利 2590.65 75,564 18,725 3,384-10.64% 0.40% -3.92% -3.15% -9.38% -4.71% 4.48% 4.48% 高分红 4238.92 109,866 39,185 4,570-11.08% -0.66% -4.71% -2.57% -10.03% 9.58% 4.20% 4.16% 沪工业红 5773.75 9,481 3,445 301-21.31% 1.16% -4.81% -7.37% -25.44% -23.48% 3.18% 3.18% 180 红利 3318.45 82,196 23,350 3,695-14.99% -0.91% -5.76% -4.65% -12.92% 2.05% 4.49% 4.49% 上国红利 1155.97 76,127 18,674 3,508-12.38% 0.04% -5.95% -4.58% -11.00% -0.30% 4.61% 4.61% 沪医药红 6271.16 1,851 1,008 44-22.03% 2.05% -6.21% -17.50% -25.59% -21.71% 2.44% 2.37% 国企红利 1439.70 111,294 37,318 4,497-17.52% 0.28% -6.32% -7.88% -16.82% 0.11% 4.21% 4.04% 公用红利 2693.55 7,833 2,843 276-13.09% 1.78% -6.79% -9.48% -17.57% -38.48% 3.54% 3.53% 红利指数 2516.79 89,672 26,624 3,939-15.94% -0.46% -6.80% -6.38% -15.77% -6.45% 4.39% 4.39% 沪公用红 3195.49 7,082 2,517 259-6.72% 1.97% -6.94% -8.56% -10.88% -33.20% 3.66% 3.66% 工业红利 6378.16 14,119 5,303 428-21.62% 0.26% -6.99% -10.67% -24.39% -22.19% 3.03% 3.03% 300 红利 5007.83 100,800 33,767 4,217-16.32% -0.49% -7.04% -7.30% -14.29% 8.99% 4.28% 4.18% 民企红利 2819.87 10,719 6,880 313-24.51% -1.36% -7.06% -12.30% -24.78% -16.58% 2.92% 2.92% 380 红利 6948.47 5,261 2,044 206-21.00% 0.22% -7.20% -8.20% -22.57% -18.15% 3.91% 3.91% 红利价值 6512.38 51,492 26,703 2,245-20.13% -0.89% -7.26% -9.90% -20.67% -8.84% 4.36% 4.36% 中证红利 3808.41 115,381 39,799 4,669-19.84% -0.40% -7.31% -9.49% -20.12% -5.18% 4.17% 4.05% 500 红利 6526.52 5,938 3,060 190-26.17% 0.66% -7.61% -12.83% -29.05% -28.69% 3.20% 3.20% 上红价值 5645.86 49,684 25,802 2,127-19.83% -0.65% -8.20% -10.92% -19.76% -10.89% 4.28% 4.28% 红利低波 7162.04 58,154 29,474 2,302-20.91% -1.14% -8.26% -9.63% -21.39% -4.13% 3.96% 3.96% 上红低波 6321.93 55,008 27,880 2,133-20.39% -0.75% -8.38% -10.81% -21.42% -8.59% 3.88% 3.88% 材料红利 4948.89 7,478 3,939 342-26.07% 0.80% -9.09% -17.01% -26.49% -10.34% 4.57% 4.57% 上民红利 1997.31 8,632 4,885 267-29.47% -0.71% -9.12% -15.60% -24.56% -26.22% 3.11% 3.09% 沪能源红 5460.63 23,037 1,721 930-2.35% 0.25% -9.17% 1.68% 0.88% 5.24% 4.04% 4.04% 能源红利 3596.98 24,272 2,121 984-13.69% -1.64% -9.44% -1.15% -15.50% -14.14% 4.06% 4.05% 沪信息红 8497.76 1,908 947 48-26.83% 1.85% -9.52% -13.05% -27.53% -9.81% 2.51% 2.51% 医药红利 11043.97 5,068 2,668 104-26.71% 0.95% -10.26% -18.88% -27.76% -22.07% 2.08% 2.06% 沪材料红 4308.81 6,621 3,520 269-22.69% 1.06% -10.27% -17.03% -19.51% -0.38% 4.06% 4.06% 可选红利 10769.52 12,229 6,842 498-27.53% -2.24% -10.69% -17.41% -27.79% -5.28% 5.22% 4.07% 21/25

电信红利 6144.50 1,591 986 16-29.54% -0.09% -11.48% -12.18% -33.44% -21.56% 1.08% 1.01% 上红潜力 4643.53 50,688 14,149 1,869-17.78% -2.50% -11.72% -11.17% -14.64% 16.13% 3.69% 3.69% 信息红利 15948.76 6,384 3,256 126-23.63% 0.63% -11.75% -14.95% -27.88% -3.00% 1.98% 1.98% 红利潜力 6779.04 57,977 19,145 1,996-21.97% -2.87% -12.19% -14.63% -17.35% 46.07% 3.58% 3.44% 上红回报 4337.37 33,866 13,562 1,505-22.25% -2.06% -12.89% -15.18% -20.71% 3.05% 4.44% 4.44% 沪电信红 5606.35 599 370 8-35.08% -1.59% -13.11% -14.73% -45.43% -31.44% 1.40% 1.40% 消费红利 18983.00 19,628 9,143 455-19.01% -1.53% -14.10% -16.98% -17.40% 29.94% 2.32% 2.32% 红利回报 4733.86 34,270 15,820 1,146-24.33% -2.87% -14.19% -16.20% -21.73% 11.31% 3.34% 3.34% 沪消费红 16921.62 11,458 5,273 247-15.73% -1.27% -14.39% -17.43% -15.01% 37.18% 2.15% 2.15% 沪可选红 8123.30 7,111 2,950 386-31.27% -2.95% -14.42% -18.71% -32.81% -21.40% 5.45% 5.43% 表 6: 策略指数市场数据 指数收益指数波动指数绩效 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率 Sharpe Jensen Treynor 500 反两 260.20 82.99% -2.01% 21.70% 38.78% 98.25% 57.04% 78.43% 45.47% 2.11 0.25-0.44 300 反两 572.35 43.78% 0.87% 15.24% 17.32% 40.20% -13.53% 72.62% 40.48% 0.93-0.25-0.20 180 反两 1303.89 29.68% 0.34% 12.51% 9.53% 26.61% -18.87% 71.51% 38.99% 0.62-0.34-0.14 500 反向 1711.56 41.05% -0.95% 11.17% 19.56% 47.67% 45.48% 39.25% 22.73% 1.99 0.10-0.42 50 反两 416.04 18.83% 1.02% 9.61% 1.57% 11.70% -38.33% 73.50% 42.19% 0.22-0.48-0.05 300 反向 2165.57 24.46% 0.52% 8.09% 9.90% 23.55% 4.77% 36.39% 20.24% 1.04-0.10-0.22 300 日报酬反向 1775.61 23.04% 0.50% 7.95% 9.52% 21.88% 0.55% 36.34% 20.24% 0.96-0.12-0.20 180 反向 4989.41 18.06% 0.26% 6.78% 6.13% 17.23% 1.17% 35.83% 19.50% 0.76-0.14-0.17 50 反向 1707.96 13.31% 0.61% 5.41% 2.28% 10.47% -11.57% 36.84% 21.10% 0.38-0.20-0.09 金融等权 4488.45-13.26% -0.73% -1.69% 0.83% -13.78% -0.57% 35.64% 21.72% -0.75 0.10-0.20 50 基本 2788.84-10.13% 0.10% -3.63% -0.56% -9.06% 12.63% 33.45% 19.85% -0.58 0.13-0.15 180 高贝 4845.36-25.87% 1.64% -4.11% -7.90% -30.23% -32.22% 41.51% 22.64% -1.45 0.02-0.31 银河 99 5968.41-13.60% -0.47% -4.45% -3.07% -11.69% 15.07% 34.46% 20.39% -0.70 0.13-0.17 22/25

50 等权 2061.14-17.99% 0.97% -4.46% -4.61% -18.38% -14.22% 35.41% 20.03% -1.04 0.08-0.24 180 基本 9922.19-13.69% 0.19% -4.55% -3.26% -13.29% 2.57% 33.15% 18.73% -0.84 0.10-0.20 300 波动 5974.91-17.80% 0.76% -5.13% -7.53% -19.54% 2.23% 32.11% 16.36% -1.35 0.03-0.28 180 波动 11125.54-16.76% 0.89% -5.34% -7.02% -18.72% -4.45% 32.60% 16.93% -1.25 0.05-0.27 财富大盘 4365.20-17.26% -0.13% -5.35% -5.85% -16.35% 3.59% 34.28% 19.45% -0.97 0.09-0.22 300 低贝 4578.84-22.64% 0.28% -6.22% -10.45% -22.88% -11.01% 27.99% 15.09% -1.68-0.02-0.36 500 波动 8886.37-24.27% 1.45% -6.48% -11.71% -26.83% -18.77% 35.02% 19.07% -1.54 0.00-0.33 公用等权 1686.98-22.99% 1.27% -6.70% -11.14% -26.78% -48.17% 32.81% 17.33% -1.69-0.05-0.39 能源等权 2011.90-24.44% -0.59% -6.79% -5.03% -25.91% -26.43% 39.31% 25.42% -1.12 0.03-0.30 等权 90 2283.48-26.44% 0.49% -7.01% -9.95% -28.02% -21.61% 37.68% 21.06% -1.45 0.03-0.30 180 低贝 8003.42-22.67% 0.48% -7.03% -8.33% -24.02% -12.95% 29.51% 16.55% -1.60-0.02-0.35 180 稳定 8795.48-13.59% -0.26% -7.04% -6.91% -11.75% 12.35% 34.06% 18.18% -0.78 0.12-0.18 工业等权 2260.55-25.52% 1.53% -7.07% -9.06% -28.76% -40.34% 34.51% 19.12% -1.63-0.02-0.35 100 稳定 3962.97-12.84% -0.94% -7.19% -6.36% -9.64% 32.14% 32.32% 18.85% -0.64 0.13-0.16 小康指数 4592.61-20.68% 0.54% -7.22% -8.72% -21.06% -9.99% 33.91% 18.90% -1.25 0.05-0.27 创业价值 1425.05-30.38% 0.56% -7.26% -14.06% -30.56% -19.31% 38.80% 22.79% -1.45 0.02-0.31 180 动态 5379.38-23.00% -0.54% -7.28% -7.34% -25.05% -34.68% 39.39% 22.58% -1.22 0.06-0.27 180ERC 3674.82-21.09% 0.64% -7.29% -9.92% -23.04% -19.99% 34.29% 17.63% -1.45 0.02-0.30 380 波动 7658.94-23.77% 1.30% -7.32% -12.44% -26.41% -21.05% 32.27% 18.18% -1.59-0.01-0.34 180 等权 6849.41-23.96% 1.00% -7.35% -10.99% -27.06% -28.16% 36.64% 19.23% -1.54 0.01-0.31 100 动态 2363.77-22.66% -1.42% -7.45% -8.29% -22.84% -25.12% 41.57% 24.44% -1.04 0.09-0.24 300ERC 3739.10-23.01% 0.35% -7.85% -11.70% -24.40% -21.14% 34.27% 17.85% -1.51 0.02-0.31 300 高贝 1968.56-30.35% 0.44% -7.97% -13.36% -33.50% -37.94% 42.24% 23.74% -1.52 0.02-0.31 300 等权 3197.37-25.83% 0.59% -8.22% -12.41% -27.90% -29.19% 36.54% 19.79% -1.54 0.02-0.31 300 动态 2276.74-26.62% -0.59% -8.28% -10.45% -28.01% -39.18% 39.95% 22.71% -1.34 0.05-0.28 材料等权 2558.45-24.36% 1.44% -8.29% -15.23% -25.45% -12.68% 37.58% 23.43% -1.19 0.06-0.27 300 稳定 3732.13-18.30% -0.65% -8.29% -10.27% -16.73% 12.15% 34.35% 19.11% -1.01 0.09-0.22 富国多空 29539.78-9.78% 0.33% -8.39% -10.96% -5.87% 56.63% 39.77% 22.28% -0.38 0.25-0.08 380 低贝 4640.43-23.43% 0.83% -8.55% -15.65% -24.96% -26.26% 30.16% 17.15% -1.60-0.01-0.34 安中动态 915.20-21.39% -0.63% -8.92% -10.36% -22.48% -7.42% 35.34% 20.19% -1.24 0.06-0.27 腾讯济安 1761.21-29.27% 0.96% -9.02% -14.40% -31.70% -24.95% 36.81% 21.13% -1.62-0.01-0.34 500 低贝 7574.53-28.32% 0.66% -9.09% -16.64% -29.85% -27.33% 31.56% 17.74% -1.82-0.05-0.39 转型成长 20814.90-32.86% 1.48% -9.17% -18.92% -35.89% -24.33% 41.09% 23.87% -1.61-0.02-0.35 500ERC 5547.85-30.46% 1.09% -9.27% -16.64% -33.75% -35.21% 37.51% 20.94% -1.73-0.03-0.36 300SER 4289.08-22.82% -0.09% -9.35% -12.36% -24.21% -17.22% 33.06% 17.86% -1.49 0.02-0.31 23/25

500SER 5772.26-30.83% 0.90% -9.36% -18.16% -33.11% -32.10% 37.97% 20.49% -1.74-0.04-0.37 800 等权 4277.06-29.48% 0.91% -9.47% -15.33% -32.55% -35.49% 37.86% 21.03% -1.67-0.01-0.34 300 分层 3807.50-24.44% 0.16% -9.57% -13.07% -25.82% -23.34% 35.12% 19.19% -1.48 0.03-0.30 180 分层 8153.04-22.61% 0.60% -9.58% -12.44% -25.28% -25.34% 35.55% 19.01% -1.46 0.03-0.30 380ERC 6409.43-28.91% 0.86% -9.59% -16.83% -32.16% -35.62% 35.39% 20.69% -1.67-0.02-0.35 央视 500 998.46-23.69% -0.39% -9.59% -13.05% -23.90% -15.77% 35.92% 19.99% -1.32 0.05-0.27 180 动量 2642.91-16.47% -1.63% -9.60% -9.02% -12.90% 4.23% 38.33% 21.98% -0.70 0.14-0.17 380 基本 5104.36-27.56% 0.94% -9.82% -15.54% -29.77% -31.24% 37.59% 21.73% -1.49 0.02-0.31 200 稳定 4488.13-26.50% 0.13% -10.04% -16.55% -28.16% -20.86% 37.55% 20.59% -1.49 0.01-0.32 中证龙头 3353.35-24.47% -0.02% -10.04% -13.92% -23.86% -14.10% 37.75% 20.52% -1.28 0.06-0.27 500 等权 5088.60-31.64% 1.12% -10.26% -17.08% -35.24% -39.08% 39.00% 22.29% -1.69-0.03-0.36 医药等权 6847.92-20.20% 1.85% -10.28% -18.31% -21.54% -19.25% 36.93% 25.19% -0.95 0.11-0.23 沪财中小 6482.27-32.25% 1.20% -10.49% -18.21% -36.28% -36.90% 39.48% 23.19% -1.67-0.03-0.35 800 动量 2863.20-22.54% -1.41% -10.50% -13.19% -21.28% -11.79% 38.43% 22.05% -1.08 0.09-0.24 百发 100 9824.91-24.69% 0.17% -10.62% -17.03% -23.43% -25.91% 40.50% 24.78% -1.05 0.11-0.23 500 稳定 6481.66-27.82% 0.76% -10.67% -16.57% -30.16% -28.91% 37.12% 21.29% -1.53 0.01-0.32 380 等权 5050.35-31.27% 0.97% -10.70% -18.13% -34.70% -39.92% 38.26% 22.57% -1.65-0.02-0.35 淘金 100 8261.07-25.73% 0.88% -10.87% -17.81% -24.93% 5.35% 37.90% 23.55% -1.16 0.09-0.25 380 稳定 5256.24-24.57% 0.65% -10.87% -15.99% -25.79% -24.75% 36.49% 21.54% -1.31 0.05-0.28 光大阳光 5290.94-19.64% -2.56% -10.95% -12.31% -15.73% 24.84% 40.16% 23.98% -0.76 0.14-0.18 200 动态 1953.81-35.18% 1.22% -11.04% -17.13% -36.82% -49.18% 41.52% 23.63% -1.66-0.02-0.34 300 动量 3183.07-22.15% -2.15% -11.32% -13.21% -19.35% -3.64% 40.22% 23.18% -0.94 0.11-0.22 500 动态 2830.56-35.53% 1.07% -11.35% -18.77% -39.55% -48.97% 41.67% 24.62% -1.71-0.04-0.37 CS 娱乐 1256.03-36.96% 0.69% -11.48% -20.15% -41.37% -57.09% 41.20% 24.18% -1.81-0.07-0.39 可选等权 1993.66-36.12% 1.02% -11.86% -20.91% -39.58% -46.95% 37.58% 20.18% -2.09-0.10-0.44 500 高贝 3033.92-34.67% 1.52% -12.18% -18.57% -37.61% -49.14% 43.66% 27.07% -1.48 0.00-0.32 380 高贝 3312.33-35.90% 0.90% -12.55% -20.81% -40.63% -51.37% 43.76% 28.06% -1.54-0.01-0.33 创业成长 836.05-41.67% 0.61% -12.57% -24.96% -46.26% -45.93% 38.79% 23.57% -2.07-0.13-0.45 50 两倍 935.10-32.12% -1.64% -12.85% -9.99% -29.63% -11.71% 73.80% 42.20% -0.76 0.25-0.19 380 动态 2652.59-36.20% 0.53% -13.11% -20.99% -39.07% -50.67% 42.55% 24.86% -1.67-0.03-0.35 CS 医药 9252.74-16.14% 2.41% -13.20% -20.33% -18.02% -15.47% 46.34% 29.12% -0.70 0.17-0.18 信息等权 2894.53-35.02% 2.17% -13.23% -20.86% -38.46% -53.46% 45.37% 29.13% -1.41-0.01-0.34 电信等权 1811.60-37.90% -0.15% -13.61% -16.50% -42.70% -41.25% 42.87% 28.97% -1.56-0.06-0.38 180 两倍 2577.43-36.45% -0.90% -14.95% -16.05% -36.29% -31.73% 71.75% 39.00% -0.99 0.19-0.22 380 动量 4052.94-29.90% -0.55% -15.38% -22.37% -29.82% -40.03% 42.19% 25.72% -1.26 0.07-0.27 24/25

300 日报酬两倍 1733.49-41.10% -1.37% -16.75% -21.09% -40.60% -28.76% 72.71% 40.48% -1.06 0.19-0.23 300 两倍 1069.56-43.25% -1.43% -17.10% -21.97% -43.17% -37.62% 72.85% 40.49% -1.13 0.17-0.24 消费等权 4902.20-24.92% -1.65% -17.11% -23.64% -25.69% -16.29% 44.74% 26.11% -1.08 0.07-0.27 500 两倍 1603.26-57.18% 1.70% -22.10% -34.26% -61.58% -73.41% 78.53% 45.47% -1.41 0.07-0.30 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 4003.97-9.74% -0.26% -3.80% -1.10% -7.64% 23.41% 33.45% 20.12% -0.50 0.15-0.13 上证 F200 4045.18-14.38% 0.32% -4.74% -3.89% -13.78% 1.60% 32.99% 18.59% -0.88 0.10-0.20 基本 200 4170.96-15.56% -0.03% -5.16% -4.58% -14.52% 6.91% 33.50% 19.13% -0.89 0.10-0.21 上证 F500 4380.56-16.63% 0.36% -5.50% -5.62% -16.72% -4.48% 33.44% 18.37% -1.05 0.08-0.23 基本 300 5002.01-16.52% -0.50% -5.91% -6.23% -14.82% 7.44% 34.42% 19.65% -0.88 0.11-0.20 基本 600 4530.65-18.54% 0.13% -5.97% -6.97% -18.35% -2.18% 34.12% 18.98% -1.10 0.08-0.24 基本 400 4970.26-29.07% 0.83% -9.19% -15.81% -31.67% -31.77% 39.06% 22.43% -1.52 0.01-0.32 基本 500 5004.20-31.70% 0.86% -10.62% -17.16% -36.67% -41.37% 38.70% 22.68% -1.73-0.04-0.36 上证 F300 5122.91-30.08% 0.70% -10.63% -16.38% -33.98% -37.38% 39.26% 22.30% -1.64-0.02-0.34 25/25

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