定期分析报告 中证指数 12 月份运行报告 目录 12 月份市场概要... 1 A 股主要指数表现... 2 沪深 300 指数分析... 3 主题及行业指数表现... 5 策略指数表现... 6 商品期货指数表现... 8 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 12 月份市场概要 12 月份国际市场主要股指总体表现较差, 主要股指皆收跌 美国方面,20 日美联储决定加息 25 个基点, 将联邦基金利率目标区间上调至 2.25%-2.5%, 此外因美国国会和白宫围绕特朗普边境墙计划的拨款问题未达成一致, 美国政府于当地时间 22 日正式部分关门 另外, 美国 12 月季调后非农数据显示为新增 31.2 万人, 录得 2018 年 3 月以来新高, 预期仅为 17.7 万人 标普 500 指数月内大幅回落, 月末有所反弹, 最高触及 2800.18 点, 最低触及 2346.58 点, 全月下跌 9.18%, 收至 2506.85 点 STOXX 欧洲 600 指数下跌 5.55%, 收至 337.65 点 日经 225 指数下跌 10.45%, 香港 100 指数下跌 2.88% 12 月,A 股表现疲软, 交易量较上月回落较多 12 月官方制造业 PMI 为 49.4%, 比上月回落 0.6 个百分点 ; 官方非制造业商务活动指数为 53.8%, 比上月上升 0.4 个百分点 备受瞩目的庆祝改革开放 40 周年大会以及中央经济工作会议分别于 12 月 18 日与 12 月 19 日至 21 日在北京召开, 习近平总书记发表了重要讲话 此外, 证监会与法国金融市场管理局签署双边监管合作函, 还与香港证监会就进一步完善沪深港通信息交换达成协议, 与开曼群岛金融管理局签署 证券期货监管合作谅解备忘录 整体来看, 沪指全月下跌 3.64%, 收至 2493.90 点 当月上海市场日均成交金额 1118.01 亿元, 环比下跌 26.63% 沪深 A 股规模指数中, 各类宽基指数跌幅都较大 中证 100 跌幅最大, 跌幅达 5.18%; 表现最好的为中证 1000, 跌幅为 4.69%; 沪深 300 指数月内跌幅为 5.11% 创业板全月下跌 5.93%, 中小板指全月下跌 7.56% 12 月份主题及行业指数表现较差, 逾 350 条主题行业指数下跌 沪深 300 公用指数上涨 7.06%, 涨幅居首 ; 沪深 300 医药下跌 14.62%, 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 12 月,A 股表现疲软, 交易量较上月回落较多 12 月官方制造业 PMI 为 49.4%, 比上月回落 0.6 个百分点, 低于临界点, 制造业景气度有所减弱 ; 官方非制造业商务活动指数为 53.8%, 比上月上升 0.4 个百分点, 表明非制造业扩张有所加快 备受瞩目的庆祝改革开放 40 周年大会以及中央经济工作会议分别于 12 月 18 日与 12 月 19 日至 21 日在北京召开, 习近平总书记发表了重要讲话 此外, 证监会与法国金融市场管理局签署双边监管合作函, 还与香港证监会就进一步完善沪深港通信息交换达成协议, 与开曼群岛金融管理局签署 证券期货监管合作谅解备忘录 整体来看, 沪指全月下跌 3.64%, 收至 2493.90 点 当月上海市场日均成交金额 1118.01 亿元, 环比下跌 26.63% 沪深 A 股规模指数中, 各类宽基指数跌幅都较大 中证 100 跌幅最大, 跌幅达 5.18%; 表现最好的为中证 1000, 跌幅为 4.69%; 沪深 300 指数月内跌幅为 5.11% 上海市场中, 主要指数悉数下跌, 上证 50 下跌 5.56%, 跌幅居首 创业板全月下跌 5.93%, 中小板指全月下跌 7.56% 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 12 月份沪深 300 指数从上月末 3172.69 点下跌至 3010.65 点, 低点为 2964.88 点, 全月下跌 5.11% 12 月份沪深 300 指数日均成交 810.37 亿元, 环比下跌 19.93% 12 月末沪深 300 指数滚动市盈率为 12.01 倍, 与上月末 12.39 倍水平下降明显 图 6: 沪深 300 指数走势 一级行业指数多数下跌, 其中公用事业涨幅居首, 涨幅达到 7.06%; 医药卫生跌幅最 大, 跌幅为 14.62% 图 7: 沪深 300 行业指数涨跌幅 图 8: 沪深 300 行业权重分布 沪深 300 指数中, 权重排名前三的行业分别为金融地产 工业 可选消费, 月末权 重分别为 38.99% 13.62% 10.36%, 累计权重 62.97% 能源和电信行业权重较低, 分别 为 2.69% 和 2.00% 12 月末沪深 300 指数滚动市盈率为 12.01 倍, 市净率为 1.28 倍 从行业来看, 主要 3 / 25
定期分析报告 消费市盈率最高, 滚动市盈率为 37.69 倍, 与上月 36.14 倍水平上升明显 金融地产行业 估值水平最低, 滚动市盈率为 7.56 倍, 市净率为 0.91 倍 图 9: 沪深 300 行业市盈率 图 10: 沪深 300 行业市净率 沪深 300 指数权重股中, 中国平安 贵州茅台 招商银行位列前三大权重股, 权重分别为 6.47% 3.16% 和 2.77% 兴业银行权重位列第四, 为 1.98%, 格力电器 美的集团 交通银行位列 5 6 7 位, 权重为 1.83% 1.82% 和 1.69%, 前 10 大权重股权重合计 24.18% 12 月份对沪深 300 影响最大的 10 只股票中, 贡献居前股票分别为中国平安 招商银行 恒瑞医药, 分别贡献 -25.80 点 -11.10 点和 -9.11 点, 前 10 只股票合计贡献 -58.70 点 图 11: 沪深 300 前 10 大权重股图 12: 影响最大的 10 只股票 ( 单位 : 点 ) 4 / 25
定期分析报告 主题及行业指数表现 12 月份主题及行业指数表现较差, 逾 350 条主题行业指数下跌 沪深 300 公用指数 上涨 7.06%, 涨幅居首 ; 沪深 300 医药下跌 14.62%, 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 12 月市场风格指数全线下跌 跌幅最大的为 800 成长, 跌幅为 6.72%;380 价值跌幅最小, 跌幅为 2.1% 基本面指数全线下跌, 其中基本面 300 指数跌幅最大, 跌幅达 4.89%; 中证锐联基本面 200 指数跌幅最小, 跌幅为 3.70% 图 15: 风格指数系列市场表现 图 16: 基本面指数系列市场表现 12 月份红利系列指数多数下跌,380 红利指数涨幅最大, 涨幅为 1.98%; 红利潜力指数跌幅最大, 跌幅为 3.06% 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 5.18% 5.07% 和 4.9% 中小板板块与创业板板块股息率分别为 2.18% 0.71% 图 17: 红利指数系列与基准指数股息率对比 12 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 17.23% 20.16% 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 12 月份高 低贝塔指数表现较差, 跌幅最小的为 180 低贝, 跌幅为 2.66%; 跌幅最 大的为 300 高贝, 跌幅为 6.51% 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 12 月商品期货指数多数下跌 中证贵金属期货成份指数涨幅居首, 涨幅为 3.05% 中证农产品期货成份指数跌幅最大, 跌幅为 3.24% 其余指数涨跌幅分别为中证工业金属期货成份指数 (2.88%) 中证工业品期货成份指数(2.28%) 中证能源化工期货成份指数 (1.13%) 中证商品期货成份指数(0.87%) 中证化工材料期货成份指数(0.38%) 中证有色金属期货成份指数 (-1.38%) 以及中证粮油期货成份指数 (-3.22%) 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 12 月官方制造业 PMI 为 49.4%, 比上月回落 0.6 个百分点, 低于临界点, 制造业景气度有所减弱 ;12 月财新 PMI 录得 49.7, 低于 11 月 0.5 个百分点, 2017 年 6 月以来首次落入收缩区间, 显示中国经济下行压力逐渐加大 12 月份, 央行对金融机构开展 SLF( 常备借贷便利 ) 操作共 928.8 亿元 MLF( 中期借贷便利 ) 操作共 4735 亿元, 货币供给保持温和 在市场利率层面, 受年底市场机构对资金需求的素影响,DR007 利率大幅波动, 此外 SHIBOR 各期限利率上涨也较明显 债券指数方面,12 月份债市表现较好 中证综合债指数上涨 0.68%, 中证全债指数上涨 0.78% 分期限看, 长期的中证 10+ 债指数上涨 2.23% 中证 10 债指数上涨 1.08% 中证 1 3 7 债指数涨跌幅分别为 0.19% 0.35% 和 0.75% 中证国债 中证金融债 企业债指数涨跌幅分别为 1.07% 0.77% 和 0.50%, 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 3010.65-25.31% -0.62% -5.11% -12.45% -25.31% -19.31% 17.79% 20.91% 11.79 1.28 2.89% 300 金融 5171.55-20.02% -1.09% -7.02% -9.56% -20.02% -15.06% 15.66% 22.66% 7.88 0.91 3.54% 300 消费 11645.32-22.37% 2.95% 1.12% -16.16% -22.37% 52.33% 27.07% 32.25% 25.30 5.17 2.36% 300 能源 1480.76-23.68% -5.11% -8.29% -21.38% -23.68% -17.53% 17.08% 23.25% 18.27 1.01 4.57% 300 公用 1799.34-7.18% 2.08% 7.06% -2.60% -7.18% -17.83% 13.56% 14.72% 19.09 1.62 3.07% 300 可选 4160.35-30.14% -0.51% -1.42% -13.97% -30.14% -25.14% 20.90% 24.38% 13.31 1.96 3.01% 300 电信 2158.42-38.31% 1.37% -2.72% -10.00% -38.31% -32.81% 32.58% 33.73% 21.76 2.07 0.28% 300 工业 1922.24-26.60% -1.11% -2.33% -7.25% -26.60% -35.74% 17.64% 19.84% 13.81 1.35 1.96% 300 信息 1445.20-37.58% -1.84% -7.14% -15.01% -37.58% -39.03% 24.25% 31.48% 25.94 3.14 1.04% 300 医药 7881.37-21.77% 2.09% -14.62% -22.51% -21.77% -4.03% 32.75% 28.79% 30.84 3.90 1.07% 300 材料 1690.95-35.56% -2.53% -5.09% -19.09% -35.56% -20.77% 18.47% 22.99% 14.12 1.47 2.72% 中证 500 4168.04-33.32% -1.49% -4.77% -13.18% -33.32% -45.28% 19.15% 23.60% 17.43 1.54 1.58% 500 金地 3358.16-34.30% -1.36% -4.03% -6.70% -34.30% -52.86% 20.36% 24.48% 12.42 1.12 1.96% 500 消费 7250.98-20.62% 0.45% -1.37% -14.81% -20.62% -19.00% 20.78% 24.38% 27.20 2.46 1.44% 500 能源 2795.94-31.09% -2.94% -6.98% -20.72% -31.09% -35.93% 20.41% 27.75% 13.60 1.08 2.34% 500 公用 2510.38-21.15% -0.40% -2.03% -2.38% -21.15% -48.86% 14.52% 20.55% 22.27 1.19 1.88% 500 可选 2993.50-38.86% -1.56% -4.93% -14.17% -38.86% -57.10% 20.21% 22.18% 16.60 1.40 1.82% 500 电信 3438.18-40.40% 0.94% -1.13% -8.82% -40.40% -29.96% 33.59% 30.31% 32.64 2.42 0.74% 500 工业 3534.29-37.30% -1.71% -4.73% -10.64% -37.30% -52.04% 18.74% 23.15% 20.26 1.54 1.16% 500 信息 4505.40-33.79% -2.59% -5.71% -15.37% -33.79% -52.63% 23.58% 31.88% 26.68 2.19 1.04% 500 医药 8749.61-30.42% -0.72% -8.83% -16.61% -30.42% -42.11% 22.72% 25.80% 18.26 2.18 1.55% 500 原料 3264.58-32.85% -1.86% -3.35% -15.29% -32.85% -28.19% 18.84% 26.32% 12.13 1.33 2.15% 中证全指 3432.38-29.94% -1.16% -4.82% -11.78% -29.94% -38.63% 17.94% 21.13% 14.41 1.44 2.23% 全指金融 4769.22-21.62% -0.99% -6.43% -8.63% -21.62% -20.62% 15.85% 22.05% 8.14 0.93 3.42% 全指消费 8857.43-21.82% 1.39% -0.18% -12.10% -21.82% -0.89% 21.35% 25.43% 25.48 3.66 1.99% 全指能源 1466.64-29.16% -3.88% -7.44% -19.90% -29.16% -30.37% 16.88% 23.72% 17.22 1.02 4.21% 全指公用 1910.15-17.40% 0.33% 1.34% -4.27% -17.40% -38.84% 12.81% 16.50% 19.23 1.45 2.63% 全指可选 3690.62-35.05% -1.34% -3.17% -12.77% -35.05% -46.70% 19.52% 21.72% 15.48 1.69 2.42% 全指电信 4504.27-33.98% 1.83% -0.44% -6.92% -33.98% -38.59% 32.22% 30.23% 25.75 2.25 0.44% 10/25
全指工业 2467.75-33.85% -1.58% -3.44% -8.79% -33.85% -49.40% 17.67% 21.31% 17.54 1.52 1.52% 全指信息 3744.44-35.22% -2.27% -5.88% -13.55% -35.22% -52.87% 22.71% 30.63% 28.86 2.59 0.86% 全指医药 7431.98-26.40% 0.71% -11.01% -17.90% -26.40% -33.65% 27.13% 26.32% 26.91 2.92 1.14% 全指材料 2242.06-35.57% -2.38% -4.62% -15.60% -35.57% -38.23% 18.66% 23.64% 15.28 1.51 2.02% 上证 180 6808.80-21.26% -0.55% -4.65% -11.56% -21.26% -14.85% 16.24% 20.10% 10.82 1.16 3.20% 180 能源 1359.33-17.40% -5.54% -7.82% -20.80% -17.40% -11.08% 18.63% 25.17% 18.02 1.03 4.81% 180 材料 1333.73-32.96% -1.85% -3.90% -17.25% -32.96% -14.75% 17.55% 23.98% 13.50 1.48 3.09% 180 工业 1761.44-22.37% -0.85% -1.59% -4.84% -22.37% -29.30% 17.96% 19.89% 13.14 1.31 2.00% 180 可选 2063.59-22.49% 1.67% 3.90% -14.29% -22.49% -25.74% 18.05% 22.58% 12.17 1.63 4.33% 180 消费 8646.38-21.02% 3.54% 1.56% -15.53% -21.02% 61.42% 26.49% 31.44% 27.84 5.91 1.97% 180 医药 4375.89-22.47% 1.70% -12.87% -23.59% -22.47% -6.03% 35.17% 31.22% 27.58 3.38 0.99% 180 金地 4322.90-19.22% -1.12% -7.04% -9.90% -19.22% -12.81% 15.12% 22.20% 7.70 0.89 3.62% 180 信息 1909.10-26.72% -6.27% -10.04% -18.41% -26.72% -46.99% 27.71% 34.45% 35.32 5.19 0.71% 180 电信 1454.32-31.01% 0.21% -2.51% -11.43% -31.01% -36.88% 20.41% 27.88% 22.48 1.84 0.27% 180 公用 1619.80-8.37% 2.05% 6.47% -3.23% -8.37% -19.74% 12.84% 14.21% 18.62 1.70 3.19% 上证 380 3858.01-30.78% -1.37% -3.81% -12.79% -30.78% -42.53% 18.82% 23.47% 16.16 1.63 2.08% 380 能源 953.61-40.41% -3.84% -8.86% -20.87% -40.41% -42.85% 20.31% 29.92% 11.51 0.96 2.48% 380 材料 3175.35-27.80% -2.43% -3.68% -15.17% -27.80% -28.06% 19.18% 27.49% 12.96 1.52 2.52% 380 工业 3748.93-34.72% -1.54% -4.17% -10.42% -34.72% -50.59% 18.34% 23.80% 16.65 1.50 1.67% 380 可选 3635.54-37.31% -1.01% -3.35% -12.36% -37.31% -51.44% 19.57% 21.86% 16.22 1.66 2.24% 380 消费 7504.63-14.80% 0.72% 3.02% -13.84% -14.80% -7.19% 23.31% 28.28% 28.25 2.79 1.37% 380 医药 8074.42-24.69% -0.45% -8.52% -14.85% -24.69% -33.78% 23.80% 26.13% 20.19 2.43 1.69% 380 金融 2848.89-36.28% -1.87% -4.27% -12.16% -36.28% -59.54% 19.47% 25.76% 8.76 1.00 3.78% 380 信息 3671.52-37.89% -3.48% -5.84% -15.39% -37.89% -54.34% 24.46% 33.42% 27.00 2.91 1.54% 380 电信 5738.63-28.91% 2.95% -0.17% -15.68% -28.91% 2.37% 34.85% 40.71% 22.83 2.66 1.12% 380 公用 1803.02-13.83% 0.64% 0.46% -0.09% -13.83% -38.35% 13.27% 17.05% 18.22 1.46 2.78% 中证超大 2698.21-19.66% -0.65% -4.39% -11.07% -19.66% -7.67% 16.29% 20.33% 9.95 1.13 3.43% 中证 100 3185.83-21.94% -0.53% -5.18% -12.50% -21.94% -5.98% 17.59% 21.33% 10.61 1.18 3.21% 中证 200 2977.41-31.89% -0.81% -4.95% -12.34% -31.89% -39.71% 19.01% 22.54% 17.38 1.68 1.94% 中证 700 3513.53-32.62% -1.16% -4.86% -12.76% -32.62% -42.71% 18.96% 22.90% 17.41 1.61 1.76% 中证 800 3199.94-27.38% -0.83% -5.02% -12.62% -27.38% -27.47% 17.84% 20.94% 12.59 1.32 2.63% 300 沪市 2871.03-21.37% -0.55% -4.43% -11.62% -21.37% -14.44% 16.33% 20.04% 10.95 1.15 3.18% 11/25
500 沪市 4373.12-31.60% -1.13% -4.29% -12.26% -31.60% -42.93% 18.48% 23.26% 16.47 1.44 1.79% 超大盘 2010.86-18.98% -0.91% -4.04% -11.71% -18.98% -4.73% 16.42% 20.16% 11.22 1.19 3.55% 上证 50 2293.10-19.83% -0.57% -5.56% -12.03% -19.83% -5.28% 16.78% 21.43% 9.86 1.07 3.50% 上证中盘 2749.42-23.89% -0.51% -2.94% -10.71% -23.89% -28.85% 16.07% 19.69% 14.16 1.42 2.48% 上证小盘 3227.45-31.12% -1.62% -4.06% -13.07% -31.12% -43.34% 19.14% 23.31% 17.21 1.43 1.85% 上证中小 2988.23-27.27% -0.99% -3.42% -11.77% -27.27% -36.14% 17.26% 21.02% 15.29 1.43 2.22% 上证全指 2590.67-23.68% -0.77% -4.53% -11.91% -23.68% -23.23% 16.61% 20.11% 11.57 1.20 2.96% 上证 100 4371.66-29.50% -1.21% -3.48% -13.39% -29.50% -40.05% 18.80% 23.88% 14.32 1.96 2.40% 上证 150 3305.41-36.59% -1.87% -5.49% -10.45% -36.59% -57.17% 20.17% 22.95% 25.53 1.88 1.00% 市值百强 2275.61-20.25% -0.61% -4.88% -11.93% -20.25% -9.80% 16.22% 20.58% 10.26 1.11 3.35% 上证能源 1225.71-26.32% -4.48% -7.68% -20.62% -26.32% -24.62% 16.62% 23.56% 17.84 1.02 4.41% 上证材料 1592.22-30.06% -2.20% -3.64% -16.48% -30.06% -17.68% 17.69% 24.16% 13.46 1.47 2.79% 上证工业 1848.19-23.63% -0.73% -1.45% -4.78% -23.63% -31.54% 17.48% 19.62% 13.25 1.29 2.05% 上证可选 2089.75-28.77% 0.91% 1.84% -12.98% -28.77% -36.59% 18.52% 21.57% 13.73 1.55 3.50% 上证消费 7349.07-19.27% 2.32% 2.35% -12.54% -19.27% 17.38% 21.88% 27.39% 27.52 4.88 1.97% 上证医药 5177.93-26.44% 0.28% -10.67% -21.16% -26.44% -22.94% 28.87% 27.61% 24.76 3.02 1.28% 上证金融 4356.92-17.39% -0.73% -6.61% -9.94% -17.39% -6.00% 14.89% 21.95% 7.44 0.87 3.74% 上证信息 2344.31-34.13% -4.17% -7.30% -16.46% -34.13% -54.21% 24.61% 31.65% 31.80 3.32 1.02% 上证电信 2420.02-29.84% 2.09% -1.12% -10.38% -29.84% -27.32% 30.27% 28.89% 23.83 2.05 0.44% 上证公用 1856.07-11.08% 1.44% 3.97% -2.04% -11.08% -31.46% 12.77% 15.69% 19.35 1.59 2.93% 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 公用指数 4479.89-24.80% -0.72% -1.83% -7.13% -24.80% -35.92% 15.68% 19.10% 14.84 1.20 2.24% 工业指数 1953.13-25.99% -1.15% -2.95% -14.38% -25.99% -30.67% 17.20% 20.33% 18.53 1.66 2.41% B 股指数 271.05-20.70% -0.77% -2.99% -6.60% -20.70% -36.43% 11.00% 16.50% 9.30 0.99 0.43% 上证指数 2493.90-24.59% -0.89% -3.64% -11.61% -24.59% -29.53% 15.30% 19.21% 12.40 1.25 2.70% 新综指 2105.55-24.60% -0.89% -3.64% -11.61% -24.60% -29.51% 15.31% 19.23% 12.41 1.25 2.71% 12/25
A 股指数 2611.38-24.60% -0.89% -3.65% -11.62% -24.60% -29.50% 15.31% 19.23% 12.41 1.25 2.71% 上证流通 904.05-25.78% -0.90% -4.41% -11.37% -25.78% -30.30% 16.56% 20.02% 12.41 1.25 2.71% 综合指数 2404.33-21.68% -0.36% -4.54% -9.67% -21.68% -21.08% 13.42% 19.93% 8.54 0.96 3.26% 中证流通 3629.47-30.00% -1.18% -4.79% -11.73% -30.00% -38.59% 17.93% 21.17% 14.48 1.45 2.20% 中型综指 841.79-33.11% -1.75% -4.80% -8.99% -33.11% -54.68% 18.76% 23.27% 26.88 2.26 1.02% 地产指数 5836.03-19.59% -1.43% -4.98% -2.43% -19.59% -11.14% 20.63% 27.32% 8.53 1.18 3.23% 商业指数 2188.04-31.64% -2.20% -5.79% -8.76% -31.64% -61.27% 16.97% 23.88% 13.40 1.24 2.01% 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 10 1,862 1,025 915.2-23.51% 0.94% 3.10% 10.24% -23.51% -26.71% 34.56 2.37 消费 50 50 26,013 11,343 5855.32-24.29% 1.78% 2.30% -13.38% -24.29% -10.67% 18.10 2.56 上证汽车 50 8,433 3,106 3741.38-35.49% 0.47% 1.16% -15.65% -35.49% -35.89% 11.33 1.39 300 公运 34 20,010 6,404 1278-20.96% 0.86% 1.11% -6.95% -20.96% -29.99% 15.87 1.53 180 基建 22 20,040 7,275 1629.5-14.65% -0.13% 0.87% -6.24% -14.65% -19.93% 13.11 1.25 300 基建 32 23,354 8,286 1769.16-16.72% -0.38% 0.56% -7.10% -16.72% -22.12% 13.67 1.24 持续产业 40 12,003 4,572 890.86-25.41% -0.47% 0.35% -4.60% -25.41% -32.64% 17.02 1.80 内地基建 50 26,115 9,565 1659.32-19.43% -0.58% 0.18% -7.36% -19.43% -27.29% 13.89 1.23 内地消费 50 39,327 18,349 6257.87-26.89% 0.98% -0.31% -14.93% -26.89% 2.94% 17.43 2.80 细分农业 50 6,729 3,319 3969.34-21.21% 0.93% -0.39% -0.37% -21.21% -36.83% 21.93 2.71 细分食品 50 19,824 9,160 11166.72-21.96% 1.79% -0.46% -18.04% -21.96% 29.13% 26.49 4.66 食品饮料 50 20,612 9,269 11239.42-21.81% 1.77% -0.49% -17.99% -21.81% 26.15% 26.24 4.76 汽车产业 31 9,928 3,773 3150.52-32.98% 0.40% -0.52% -12.54% -32.98% -30.29% 11.77 1.41 CS 食品饮 89 22,051 10,004 9531.42-22.09% 1.22% -0.59% -17.12% -22.09% 8.61% 26.20 4.41 上证基建 46 10,819 4,557 7333.2-23.89% -1.87% -0.67% -6.30% -23.89% -34.07% 12.60 1.16 船舶产业 2 1,359 543 1234.05-25.95% 3.22% -0.69% -1.32% -25.95% -52.12% 66.62 1.22 内地农业 34 9,724 5,091 4163-24.79% 1.28% -1.02% -9.35% -24.79% -18.76% 23.65 3.12 中证基建 66 12,489 5,518 6690.48-26.98% -2.29% -1.05% -8.08% -26.98% -36.57% 13.07 1.16 中证汽车 100 12,884 5,477 3785.86-34.58% -0.75% -1.08% -11.42% -34.58% -42.26% 12.35 1.44 高铁产业 26 6,218 2,767 1436.35-27.95% -2.25% -1.15% -6.01% -27.95% -47.71% 14.61 1.29 沪城交通 50 15,887 6,679 1620.37-25.17% -0.92% -1.32% -9.91% -25.17% -37.28% 13.58 1.42 13/25
上证环保 40 11,011 4,147 1048.81-32.63% -0.81% -1.36% -3.92% -32.63% -47.85% 18.35 2.04 细分机械 50 15,287 7,057 3210.65-29.92% -0.92% -1.36% -5.83% -29.92% -42.40% 23.99 1.89 中证酒 27 14,078 6,078 2568.85-25.96% -0.47% -1.37% -21.58% -25.96% 11.58% 25.58 4.52 沪环渤海 47 68,910 13,253 2067.19-16.12% -0.50% -1.47% -11.03% -16.12% -14.88% 11.10 1.08 上证文化 50 5,630 2,520 1132.73-28.67% -0.47% -1.51% -7.29% -28.67% -56.97% 20.43 1.98 非周期 100 64,985 26,559 2280.89-21.74% 0.62% -1.54% -13.26% -21.74% -18.12% 16.97 1.95 沪大农业 50 6,573 2,867 1078.46-21.56% -0.46% -1.73% -11.64% -21.56% -34.65% 25.10 2.91 上证休闲 50 5,643 2,481 748.76-28.74% -0.62% -1.75% -7.55% -28.74% -57.10% 20.62 1.96 沪新丝路 52 39,415 11,119 1231.78-23.83% -1.41% -1.84% -10.11% -23.83% -32.37% 17.26 1.14 中证高新 100 9,431 5,229 1230.96-24.76% -0.30% -1.85% -7.15% -24.76% -47.66% 47.95 3.51 农业主题 40 7,285 4,038 1011.68-19.73% -0.08% -1.94% -12.71% -19.73% -27.64% 25.46 3.34 300 消服 15 10,874 6,374 6128.21-26.71% -0.69% -1.98% -11.96% -26.71% 0.53% 15.94 2.57 轻工产业 73 31,329 15,905 3413.67-28.99% 0.32% -2.14% -16.38% -28.99% 6.68% 19.60 3.36 上证养老 40 25,918 14,027 7251.18-25.94% -0.25% -2.22% -8.09% -25.94% -35.61% 19.06 2.45 一带一路 79 43,146 13,461 1288.58-25.94% -1.49% -2.23% -9.93% -25.94% -33.14% 17.06 1.16 中证旅游 22 2,986 1,496 2975.29-25.55% 0.99% -2.26% -11.40% -25.55% -45.20% 18.39 2.30 纺织产业 25 4,594 1,643 1298.81-32.52% -1.44% -2.28% -17.46% -32.52% -47.89% 23.20 1.94 文体休闲 50 10,142 4,821 787.26-34.42% -1.17% -2.28% -13.21% -34.42% -58.82% 22.63 2.36 中证文化 50 10,075 4,849 1409.4-35.03% -1.17% -2.28% -13.25% -35.03% -60.09% 22.71 2.39 中证白酒 18 13,147 5,666 4378.69-26.94% 0.18% -2.37% -23.79% -26.94% 47.68% 25.04 4.99 沪城消费 50 30,721 13,811 1407.02-24.80% 1.87% -2.46% -16.94% -24.80% -8.75% 19.77 3.00 机器人 43 4,491 2,191 964.78-29.31% -0.89% -2.46% -11.99% -29.31% -48.54% 29.19 2.28 消费 80 80 35,166 15,596 3655.26-24.55% 1.72% -2.57% -16.67% -24.55% -9.63% 19.73 2.84 智能资产 180 16,254 8,745 6917.22-29.74% -1.17% -2.59% -8.43% -29.74% -48.22% 22.58 2.46 沪投资品 50 19,038 7,821 3347.18-31.28% -1.61% -2.65% -7.11% -31.28% -27.95% 16.23 1.50 上证高新 50 6,691 3,591 1205.63-22.68% -1.26% -2.67% -5.31% -22.68% -40.45% 40.41 3.37 环渤海 51 70,665 14,226 2150.58-21.53% -0.44% -2.69% -12.43% -21.53% -18.19% 11.15 1.08 精工制造 200 54,260 22,099 2137.19-32.31% -1.05% -2.74% -8.31% -32.31% -43.28% 15.93 1.55 中证文体 100 12,794 6,306 1360.85-35.90% -1.56% -2.83% -12.65% -35.90% -62.62% 22.44 2.13 CS 休闲娱 100 11,169 5,109 3047.53-36.54% -2.11% -2.89% -12.03% -36.54% -64.15% 19.24 1.94 沪智家居 50 5,710 2,997 1786.17-35.71% -1.75% -2.89% -10.38% -35.71% -55.07% 21.23 2.12 ESG 40 40 73,032 23,858 1212.34-22.08% -0.69% -2.93% -9.59% -22.08% -11.93% 8.14 0.94 混合改革 69 45,386 12,561 1402.99-25.30% -0.65% -2.93% -9.27% -25.30% -30.31% 19.13 1.36 上证中游 173 42,439 18,783 2172.09-28.14% -1.64% -2.97% -10.92% -28.14% -36.00% 14.01 1.45 基建工程 50 11,655 5,114 3964.81-31.48% -2.98% -2.99% -9.25% -31.48% -38.96% 9.62 1.02 14/25
上证下游 174 53,211 22,455 3148.3-25.04% 0.97% -2.99% -15.45% -25.04% -22.81% 18.83 2.12 城镇交通 100 27,188 12,747 1599.78-32.00% -1.32% -2.99% -11.20% -32.00% -39.44% 16.06 1.74 CS 智慧农 29 2,688 1,649 963.6-24.60% -0.58% -3.01% -11.70% -24.60% -51.23% 21.24 1.71 CS 土改农 23 2,091 1,021 699.8-30.38% 0.59% -3.04% -11.52% -30.38% -51.84% 19.05 1.32 军工信息 150 17,995 9,295 1669.63-27.85% -0.76% -3.12% -11.63% -27.85% -55.09% 41.37 2.45 上证央企 50 103,922 25,728 1362.52-17.85% -0.22% -3.16% -8.51% -17.85% -13.03% 9.97 0.99 西部开发 47 20,159 8,312 5101.91-30.16% -0.07% -3.17% -12.67% -30.16% -21.45% 17.85 2.22 上证国企 100 146,352 45,820 869.91-19.57% -0.07% -3.19% -9.93% -19.57% -14.43% 10.13 1.05 上国改革 50 62,333 16,824 1268.35-24.83% -0.35% -3.23% -13.04% -24.83% -25.82% 8.86 0.99 180 运输 9 5,962 2,121 906.86-26.85% -0.78% -3.24% -8.55% -26.85% -23.31% 12.88 1.50 物流产业 30 9,096 2,534 1007.55-30.55% -0.02% -3.26% -9.62% -30.55% -48.25% 14.65 1.53 装备产业 83 18,041 9,072 1410.09-30.26% -1.30% -3.26% -8.04% -30.26% -44.17% 25.26 1.80 沪智交通 17 2,110 1,318 1305.74-25.01% -1.03% -3.27% -9.73% -25.01% -52.94% 36.19 2.06 上证地企 50 42,430 20,093 918.48-21.56% 0.13% -3.31% -11.50% -21.56% -16.13% 10.53 1.24 沪西部 38 15,190 7,358 4294.65-28.05% -0.65% -3.34% -10.51% -28.05% -24.03% 17.88 2.53 国企改革 100 77,300 24,210 1193.74-26.43% -0.12% -3.34% -12.83% -26.43% -28.41% 9.64 1.09 沪绿色城 50 10,693 4,431 1353.98-33.72% -2.08% -3.35% -15.63% -33.72% -33.44% 12.68 1.62 上证城镇 244 68,065 31,088 1510.34-28.04% -1.13% -3.39% -13.24% -28.04% -30.89% 15.19 1.79 地企 100 100 64,841 31,389 950.23-24.06% -0.17% -3.41% -11.83% -24.06% -15.49% 11.13 1.31 CS 京津冀 50 6,293 3,082 1365.97-38.22% -2.41% -3.43% -9.27% -38.22% -43.58% 12.31 1.14 内地运输 39 13,066 4,221 1323.37-28.84% -0.17% -3.43% -9.83% -28.84% -36.13% 14.97 1.49 ESG 100 100 129,636 48,658 965.52-24.25% -0.40% -3.43% -10.62% -24.25% -12.93% 9.16 1.09 内地低碳 50 16,979 6,889 936.19-35.26% -2.40% -3.50% -9.70% -35.26% -36.15% 18.81 2.07 中证地企 708 103,811 49,828 1033.02-26.30% -0.69% -3.51% -11.22% -26.30% -29.86% 12.87 1.32 300 非周 178 106,214 46,290 3197.79-28.18% 0.17% -3.51% -14.36% -28.18% -22.27% 18.02 2.17 国企 200 200 186,142 63,773 916.1-22.30% -0.26% -3.52% -10.51% -22.30% -16.48% 10.79 1.12 优势制造 50 11,989 5,609 4672.09-30.39% -1.40% -3.56% -6.17% -30.39% -48.53% 27.05 1.77 中证国企 1050 244,314 90,479 993.91-24.99% -0.62% -3.62% -10.53% -24.99% -28.34% 11.87 1.18 央企 100 100 121,301 32,384 1475.98-20.40% -0.34% -3.64% -9.17% -20.40% -17.09% 10.62 1.04 中证钢铁 41 6,447 2,771 959.46-32.65% -3.10% -3.68% -19.02% -32.65% -32.22% 8.52 0.98 细分有色 50 8,333 4,379 3430.04-40.16% -1.79% -3.71% -13.18% -40.16% -31.73% 27.46 1.84 有色产业 34 7,020 3,812 1375.54-39.63% -1.72% -3.72% -13.50% -39.63% -28.46% 27.61 1.80 中证传媒 50 9,909 4,136 1088.52-36.92% -2.98% -3.74% -10.26% -36.92% -64.87% 21.31 2.37 中证核电 46 6,554 2,599 1958.3-31.61% -1.61% -3.74% -10.83% -31.61% -51.98% 17.84 1.29 中证央企 342 140,503 40,651 1553.34-23.24% -0.54% -3.75% -9.66% -23.24% -26.32% 11.22 1.08 15/25
沪智慧城 50 8,672 4,706 1569.85-24.39% -1.32% -3.77% -10.89% -24.39% -45.97% 21.57 2.03 上证移动 50 11,397 5,922 1440.43-33.34% -1.45% -3.79% -14.92% -33.34% -50.62% 21.48 2.27 沪城基建 50 17,834 8,226 1380.18-22.48% -1.38% -3.82% -6.58% -22.48% -29.46% 9.20 1.06 信息安全 100 12,152 6,523 1153.32-28.80% -1.18% -3.83% -13.67% -28.80% -52.37% 37.91 2.86 CS 广东 39 8,598 3,890 1328.73-26.88% -0.91% -3.84% -9.97% -26.88% -39.69% 12.29 1.47 中证环保 100 19,806 8,292 1061.18-38.99% -2.30% -3.92% -10.00% -38.99% -49.99% 18.53 1.95 高端装备 60 12,068 5,512 5254.73-33.60% -1.92% -3.94% -8.01% -33.60% -52.70% 28.17 1.80 钢铁产业 20 5,254 2,167 715.08-26.93% -2.64% -3.94% -15.70% -26.93% -18.97% 8.20 0.93 中证体育 18 1,575 752 1160.52-33.29% -4.33% -4.00% -9.09% -33.29% -66.06% 18.16 2.76 智能交通 50 9,159 4,978 1792.29-32.84% -0.86% -4.02% -12.72% -32.84% -41.95% 26.88 2.63 CS 能源互 41 6,027 3,505 1139.48-34.93% -2.45% -4.05% -5.09% -34.93% -43.65% 20.27 1.93 消费领先 100 103,189 39,025 6213.25-20.16% 0.32% -4.06% -14.01% -20.16% -15.73% 9.70 1.14 上证沪企 50 27,688 12,056 1819.52-23.77% -0.44% -4.09% -9.61% -23.77% -29.72% 9.95 1.09 中证中游 250 65,250 30,485 2330.96-34.05% -1.60% -4.10% -13.07% -34.05% -36.43% 14.79 1.56 上证龙头 72 117,539 37,663 2560.49-27.33% -1.17% -4.11% -12.51% -27.33% -25.16% 11.66 1.28 环保 50 50 15,148 5,826 1224.81-39.90% -2.99% -4.13% -8.81% -39.90% -39.63% 18.89 2.14 中证服务 300 166,163 63,940 3254.48-25.57% -0.89% -4.15% -10.20% -25.57% -37.22% 10.07 1.09 有色金属 50 9,092 4,715 3091.79-40.65% -2.07% -4.19% -14.64% -40.65% -33.49% 24.75 1.90 城镇消费 100 56,901 26,144 1427.86-26.83% 1.25% -4.26% -16.69% -26.83% -6.52% 19.68 2.94 上证新兴 50 32,301 13,761 5533.15-24.17% -1.55% -4.29% -13.42% -24.17% -30.08% 17.39 1.78 中部崛起 46 11,622 5,170 2627.89-28.81% -0.90% -4.30% -13.07% -28.81% -26.88% 14.56 1.61 城镇基建 100 27,003 12,561 1391.79-25.25% -1.58% -4.31% -6.63% -25.25% -30.72% 9.66 1.15 中证高装 200 39,654 18,324 3282.46-36.39% -1.01% -4.37% -11.58% -36.39% -46.23% 23.78 2.04 中证新能 80 15,366 7,131 1209.13-34.46% -1.93% -4.39% -6.94% -34.46% -43.09% 23.33 2.01 智能家居 100 25,100 14,407 1789.61-36.00% -2.02% -4.41% -13.32% -36.00% -54.32% 19.12 2.37 沪股通 576 227,666 84,689 2409.66-23.49% -0.72% -4.42% -11.80% -23.49% -23.19% 11.57 1.22 300 有色 16 5,340 2,742 2475.46-40.36% -2.22% -4.43% -14.95% -40.36% -24.54% 24.36 1.93 治理指数 295 145,096 52,600 867.04-21.76% -0.98% -4.44% -10.94% -21.76% -19.26% 10.83 1.08 智慧城镇 100 21,288 11,781 1575.13-32.14% -0.97% -4.44% -12.91% -32.14% -47.89% 23.28 2.29 中证下游 200 83,764 36,704 4196.52-26.77% 0.57% -4.44% -15.37% -26.77% -22.27% 19.59 2.47 中证城镇 250 99,732 47,728 1461.22-32.08% -1.34% -4.46% -13.48% -32.08% -29.41% 15.57 2.02 沪长三角 49 28,680 12,318 2468.9-27.86% 0.14% -4.49% -12.18% -27.86% -27.51% 10.77 1.28 浙企综指 417 32,629 14,340 4827.86-33.48% -1.02% -4.52% -10.32% -33.48% -46.00% 20.19 2.01 绿色城镇 100 18,787 8,834 1173-40.62% -2.53% -4.52% -15.69% -40.62% -42.31% 14.07 1.72 CS 上海 45 9,661 4,383 1859.18-26.07% -0.19% -4.52% -4.84% -26.07% -50.59% 14.36 1.42 16/25
浙江民企 359 23,504 10,526 5332.36-35.32% -1.16% -4.57% -11.16% -35.32% -50.66% 21.92 2.13 中证安全 100 12,284 5,601 1820.79-35.68% -2.04% -4.59% -10.83% -35.68% -47.03% 27.15 2.73 沪互联网 92 21,631 12,301 1551.65-24.55% -1.15% -4.60% -10.51% -24.55% -37.04% 18.91 2.07 沪中部 38 8,191 3,863 2619.19-29.83% -1.43% -4.60% -14.33% -29.83% -28.27% 13.20 1.45 细分化工 50 9,341 4,204 2277.92-35.51% -2.15% -4.66% -22.36% -35.51% -42.60% 13.92 1.68 中小国改 99 11,744 5,490 1129.76-31.37% -1.47% -4.70% -15.28% -31.37% -45.43% 21.34 1.76 新能源 50 11,349 5,731 1138.3-34.29% -1.70% -4.76% -7.56% -34.29% -41.30% 22.24 2.01 优势资源 46 23,127 4,988 2768.82-34.02% -2.49% -4.76% -13.67% -34.02% -19.44% 21.33 1.20 180 治理 100 125,111 43,316 809.05-20.66% -0.95% -4.78% -11.66% -20.66% -12.39% 10.32 1.06 资源 50 50 31,498 7,248 1973.55-30.58% -2.98% -4.79% -17.52% -30.58% -20.99% 17.85 1.18 移动互联 100 24,155 11,682 1664.59-33.83% -1.31% -4.80% -15.10% -33.83% -50.28% 27.89 3.21 大宗商品 93 37,098 10,347 2988.65-36.06% -1.84% -4.82% -13.76% -36.06% -31.89% 17.55 1.21 上证 TMT 50 13,431 5,035 1290.95-33.06% -2.06% -4.88% -11.66% -33.06% -58.30% 24.66 2.34 CS 新能车 25 9,298 3,373 1391.99-38.16% -1.42% -4.95% -13.40% -38.16% -48.26% 16.62 2.29 中证安防 43 4,851 2,386 1666.14-34.36% -1.74% -5.02% -8.89% -34.36% -53.49% 29.15 3.40 中证软件 100 13,324 6,455 5204.91-28.75% -2.80% -5.04% -11.92% -28.75% -60.76% 33.39 2.96 资源 80 80 37,320 9,971 2278.57-34.98% -2.74% -5.05% -19.12% -34.98% -25.79% 17.59 1.22 沪东北 32 6,606 3,868 2622.87-35.87% -0.92% -5.06% -12.99% -35.87% -39.98% 19.69 1.79 中证海洋 87 11,253 4,606 903.52-34.18% -1.40% -5.10% -12.79% -34.18% -54.82% 25.01 1.52 资源优选 200 54,315 17,676 1736.34-34.06% -2.71% -5.11% -17.95% -34.06% -33.03% 15.24 1.22 上证银行 22 58,619 16,295 750.41-13.73% 0.19% -5.11% -8.91% -13.73% -7.48% 6.40 0.75 CS 西部 31 2,990 1,621 967.67-35.11% -2.73% -5.12% -10.53% -35.11% -45.91% 12.56 1.35 上证商品 50 30,534 6,887 1388.23-31.50% -3.00% -5.17% -16.80% -31.50% -23.87% 17.68 1.16 CS 智消费 100 29,210 15,513 1774.36-33.61% -1.09% -5.18% -16.69% -33.61% -36.96% 17.53 2.19 电子产业 134 36,324 18,181 2518.06-34.83% -1.52% -5.19% -13.53% -34.83% -34.08% 21.20 2.54 东北振兴 39 6,818 4,121 2887.06-33.82% -0.06% -5.21% -13.29% -33.82% -44.17% 15.54 1.52 内地地产 44 12,792 6,122 5401.89-25.92% -0.64% -5.24% -5.61% -25.92% -33.18% 9.00 1.27 沪珠三角 49 37,556 20,273 5016.06-20.16% -0.30% -5.32% -13.24% -20.16% 7.57% 12.45 1.63 钱江 30 30 9,965 4,480 953.15-31.92% -0.29% -5.34% -12.39% -31.92% -27.83% 17.12 2.51 内地银行 25 61,172 17,572 5403.34-14.68% 0.21% -5.39% -9.33% -14.68% -6.66% 6.44 0.75 细分地产 50 13,924 6,395 5067.5-27.01% -0.79% -5.41% -5.73% -27.01% -34.35% 9.19 1.31 上证资源 50 29,360 6,086 1532.15-31.98% -3.10% -5.42% -15.94% -31.98% -23.05% 18.98 1.13 180 资源 17 24,707 4,116 2025.27-31.56% -3.36% -5.50% -16.60% -31.56% -13.57% 19.25 1.12 长三角 50 34,003 14,695 3265.16-29.06% 0.27% -5.52% -13.30% -29.06% -26.04% 11.77 1.41 中证民企 2333 160,468 76,436 1435.89-35.35% -1.59% -5.54% -12.37% -35.35% -49.63% 22.21 2.18 17/25
CS 计算机 100 12,051 6,359 5154.13-27.67% -2.58% -5.57% -14.58% -27.67% -54.42% 35.26 3.12 信息产业 100 31,146 13,734 3381.95-38.45% -1.59% -5.59% -14.84% -38.45% -48.25% 23.70 2.52 优势消费 50 21,740 10,731 5231.91-24.30% 0.50% -5.60% -17.90% -24.30% -13.30% 25.50 4.09 TMT 150 150 36,919 16,594 1219.96-36.50% -1.71% -5.62% -14.49% -36.50% -50.61% 24.30 2.33 CS 福建 24 6,808 3,962 1323.48-32.02% -1.67% -5.62% -10.53% -32.02% -43.12% 8.74 0.99 石化产业 58 30,220 6,323 883.23-31.99% -3.25% -5.71% -21.00% -31.99% -25.47% 16.23 1.13 内地资源 50 29,767 6,593 1987.08-34.29% -3.12% -5.73% -16.96% -34.29% -22.78% 19.21 1.14 CS 汽车 AM 72 15,293 9,865 1483.66-35.37% -2.22% -5.78% -15.10% -35.37% -48.57% 13.26 1.72 沪信息业 50 13,598 5,191 2996.7-30.78% -2.55% -5.78% -13.89% -30.78% -49.44% 24.88 2.27 消费服务 100 120,438 44,931 6086.68-23.03% 0.36% -5.79% -16.05% -23.03% -14.82% 10.24 1.21 互联网 150 42,741 22,388 2009.47-32.33% -1.51% -5.83% -13.34% -32.33% -41.55% 21.04 2.28 300 信服 43 21,068 9,200 1448.69-38.70% -1.41% -5.83% -15.08% -38.70% -45.94% 23.68 2.70 中证上游 50 30,694 6,878 1908.59-33.76% -3.25% -5.84% -17.68% -33.76% -23.34% 19.33 1.14 责任指数 100 67,067 31,779 1192.66-20.68% -1.23% -5.91% -12.14% -20.68% -7.71% 9.84 1.14 A 股资源 50 31,005 6,949 3023.39-35.89% -2.68% -5.91% -17.29% -35.89% -27.12% 19.09 1.14 泛珠三角 51 49,966 27,096 7027.62-24.20% -0.84% -5.92% -14.01% -24.20% 11.21% 12.89 1.91 中证军工 33 5,940 2,777 6362.2-27.25% -0.58% -6.06% -13.92% -27.25% -54.75% 50.96 2.09 上证上游 56 29,541 6,210 1731.6-32.22% -3.57% -6.07% -17.14% -32.22% -22.97% 18.89 1.12 新材料 50 8,992 5,145 2013.9-43.37% -3.27% -6.09% -19.43% -43.37% -33.98% 16.22 1.87 中证 TMT 100 30,228 13,741 1303.58-34.79% -2.45% -6.13% -13.76% -34.79% -55.36% 23.61 2.34 上证海外 54 105,100 31,046 1103.12-20.07% -1.16% -6.15% -11.21% -20.07% -4.80% 9.72 0.98 沪消费品 50 20,619 9,476 6222.94-26.60% 0.23% -6.15% -19.27% -26.60% -15.32% 25.86 3.77 工业 4.0 29 10,005 4,718 1602.3-35.23% -3.60% -6.19% -13.33% -35.23% -52.91% 27.17 3.09 中证新兴 100 57,308 26,566 5836.82-31.31% -1.38% -6.20% -14.61% -31.31% -37.84% 18.31 2.02 煤炭等权 32 6,941 1,857 1493.47-35.10% -3.05% -6.22% -13.24% -35.10% -28.25% 8.99 1.01 中证中药 50 6,705 3,417 7913.65-28.71% -0.38% -6.29% -17.11% -28.71% -40.51% 20.67 2.33 CS 轻资产 100 76,610 36,452 4204.9-28.39% 0.27% -6.31% -14.56% -28.39% -16.55% 20.97 2.47 煤炭指数 30 6,783 1,907 1970.58-32.25% -3.05% -6.39% -14.28% -32.25% -18.96% 9.11 1.01 上证健康 50 11,591 6,307 983.71-30.38% -0.88% -6.50% -13.68% -30.38% -42.35% 24.20 3.01 军工指数 48 6,901 3,452 831.49-28.91% -1.35% -6.55% -14.16% -28.91% -55.46% 50.23 2.05 300 周期 122 138,704 47,656 3043.09-22.40% -1.37% -6.58% -10.60% -22.40% -16.38% 9.33 0.97 中证煤炭 32 6,941 1,857 1151.01-34.86% -3.06% -6.63% -14.08% -34.86% -25.08% 8.99 1.01 上证军工 13 3,496 1,497 4970.41-30.03% -1.28% -6.66% -12.02% -30.03% -55.31% 51.24 1.77 180 金融 49 82,416 29,864 4398.97-18.77% -0.95% -6.70% -9.86% -18.77% -10.43% 7.66 0.87 民企 200 200 65,560 28,880 1234.12-32.36% -0.81% -6.72% -14.40% -32.36% -36.54% 20.15 2.55 18/25
上证周期 50 108,145 35,053 2697.11-20.05% -1.34% -6.76% -11.37% -20.05% -9.92% 8.81 0.94 内地金融 50 86,823 31,613 5429.21-19.54% -0.93% -6.79% -10.08% -19.54% -13.62% 7.74 0.87 细分金融 50 87,013 31,689 5170.38-19.52% -0.92% -6.81% -10.06% -19.52% -13.76% 7.74 0.87 800 金融 72 90,407 33,329 5096.24-20.02% -1.05% -6.84% -9.65% -20.02% -14.87% 7.93 0.89 非周民企 100 43,459 19,299 1059.16-32.37% -0.28% -6.87% -14.32% -32.37% -32.35% 22.52 3.00 CS 电子 100 17,447 8,870 3660.75-41.41% -1.90% -7.25% -17.47% -41.41% -42.42% 22.80 2.26 稀土产业 30 3,395 1,920 859.47-46.96% -2.34% -7.26% -14.17% -46.96% -51.31% 26.20 1.52 上证民企 50 21,510 9,469 1280.07-29.60% -0.99% -7.42% -15.28% -29.60% -27.51% 18.29 2.52 800 证保 47 29,235 15,758 4512.49-27.13% -2.22% -7.64% -7.43% -27.13% -32.25% 15.40 1.42 中证证保 44 28,428 15,513 734.6-26.79% -2.20% -7.64% -7.29% -26.79% -32.19% 15.74 1.42 互联金融 78 21,835 14,147 2040.51-26.91% -3.21% -7.65% -12.65% -26.91% -50.72% 11.22 1.24 中小医疗 148 8,116 4,164 8227.49-31.02% -1.08% -7.68% -14.32% -31.02% -54.56% 28.45 2.18 细分能源 50 25,678 4,069 1575.69-28.67% -4.20% -7.74% -20.39% -28.67% -29.53% 17.21 1.02 健康产业 100 24,479 12,869 1309.31-35.07% -1.21% -7.84% -15.68% -35.07% -40.62% 24.66 3.17 中证国防 23 3,842 1,834 933.87-27.52% -1.36% -7.91% -14.40% -27.52% -54.43% 47.10 2.61 CS 稀金属 17 2,610 1,383 895.06-42.47% -4.08% -8.04% -19.09% -42.47% -31.50% 33.54 2.55 中证医疗 55 5,275 2,635 6124.41-11.79% 1.56% -8.08% -14.57% -11.79% -42.32% 45.20 4.39 保险主题 20 22,653 12,298 1808.12-26.81% -2.18% -8.31% -15.39% -26.81% 3.76% 9.93 1.10 医药主题 50 10,798 5,215 7689.15-24.86% -0.37% -8.67% -16.29% -24.86% -35.51% 24.82 2.97 中证保险 20 20,516 10,902 1723.58-26.90% -2.63% -8.71% -16.38% -26.90% -2.76% 10.24 1.17 沪互金融 19 13,754 9,813 1813.52-30.99% -3.25% -8.73% -13.30% -30.99% -54.14% 9.28 1.15 300 非银 34 27,236 14,959 7618.37-25.14% -2.73% -9.00% -11.25% -25.14% -22.51% 15.01 1.42 医药 100 100 22,155 10,588 9934.7-26.81% 0.07% -10.13% -16.16% -26.81% -37.27% 26.87 3.27 医药生物 100 21,731 10,364 7491.02-27.05% 1.21% -12.33% -20.32% -27.05% -28.62% 26.95 3.31 细分医药 50 15,623 7,392 7506.31-26.10% 1.48% -12.35% -20.45% -26.10% -19.13% 25.12 3.26 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 380 价值 6198.02-25.90% -1.01% -2.14% -10.91% -25.90% -29.69% 17.08% 23.29% -1.22 0.06-0.27 380R 价值 4806.51-28.32% -0.94% -2.72% -10.54% -28.32% -37.28% 17.13% 22.90% -1.35 0.03-0.29 500 价值 6343.08-28.95% -0.79% -3.38% -12.29% -28.95% -31.09% 17.89% 23.30% -1.35 0.03-0.30 500R 价值 4972.93-29.52% -1.00% -3.59% -10.80% -29.52% -40.01% 18.22% 23.14% -1.38 0.03-0.30 180R 价值 2533.66-18.96% -0.70% -4.27% -9.62% -18.96% -11.32% 14.52% 19.48% -1.10 0.04-0.27 全 R 价值 2970.37-20.87% -0.80% -4.31% -10.02% -20.87% -16.78% 14.90% 19.39% -1.21 0.04-0.28 800R 价值 3883.64-22.94% -0.76% -4.43% -10.40% -22.94% -16.34% 15.87% 20.17% -1.26 0.04-0.28 800 价值 4628.16-21.77% -0.92% -4.46% -11.20% -21.77% -6.27% 15.80% 20.67% -1.17 0.04-0.28 全指价值 3471.70-18.74% -0.95% -4.48% -11.30% -18.74% -4.07% 14.70% 19.80% -1.07 0.04-0.27 180 价值 3493.90-17.35% -0.71% -4.59% -10.83% -17.35% -2.14% 14.45% 19.86% -1.00 0.04-0.27 380 成长 4069.81-30.46% -1.76% -4.63% -15.21% -30.46% -40.49% 21.19% 24.66% -1.34 0.03-0.29 300 价值 4099.22-19.05% -0.87% -4.71% -11.13% -19.05% 2.05% 15.51% 20.72% -1.04 0.05-0.27 300R 价值 3334.50-21.20% -0.66% -4.71% -10.31% -21.20% -8.61% 15.60% 20.21% -1.17 0.04-0.28 全 R 成长 2151.58-27.29% -0.73% -4.89% -14.59% -27.29% -30.72% 19.92% 22.38% -1.33 0.04-0.29 380R 成长 3093.88-33.23% -1.82% -4.93% -15.11% -33.23% -47.46% 20.92% 24.58% -1.45 0.01-0.32 180R 成长 1625.18-24.33% -0.28% -5.04% -13.67% -24.33% -19.01% 19.09% 21.97% -1.22 0.05-0.27 300R 成长 2445.85-30.33% -0.55% -5.68% -15.34% -30.33% -31.87% 21.53% 23.22% -1.41 0.02-0.31 180 成长 2659.94-21.44% -0.40% -5.73% -13.90% -21.44% -7.64% 18.39% 20.83% -1.15 0.04-0.28 全指成长 2977.26-24.10% -1.21% -5.83% -15.22% -24.10% -12.59% 18.78% 21.82% -1.22 0.04-0.28 500R 成长 3661.85-36.68% -1.95% -5.86% -15.37% -36.68% -49.72% 20.24% 24.32% -1.61-0.04-0.36 800R 成长 2589.52-33.37% -0.93% -5.86% -15.87% -33.37% -40.35% 21.46% 23.39% -1.53-0.01-0.33 300 成长 3296.10-26.60% -1.25% -6.27% -15.49% -26.60% -16.27% 20.14% 22.55% -1.29 0.03-0.30 500 成长 4472.49-38.24% -2.26% -6.70% -16.90% -38.24% -45.29% 20.41% 24.01% -1.70-0.05-0.37 800 成长 3440.87-31.46% -1.37% -6.72% -16.53% -31.46% -25.15% 21.09% 23.46% -1.45 0.01-0.32 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 沪电信红 6673.80 741 488 8-22.72% 7.00% 9.05% 3.43% -22.72% -22.46% 1.13% 1.13% 电信红利 7204.38 1,762 1,055 20-17.39% 4.48% 7.60% 3.79% -17.39% -26.90% 1.13% 1.13% 沪公用红 3404.86 7,341 2,642 269-0.61% 2.43% 6.36% -0.84% -0.61% -25.87% 3.66% 3.66% 沪消费红 17999.70 12,204 5,588 248-10.36% 1.95% 5.01% -8.93% -10.36% 29.16% 2.03% 2.03% 公用红利 2856.66 7,832 2,851 281-7.83% 1.45% 4.11% -1.14% -7.83% -32.58% 3.59% 3.59% 380 红利 7262.34 5,121 1,955 236-17.43% 0.17% 1.98% -3.01% -17.43% -19.99% 4.62% 4.62% 消费红利 20214.33 21,042 9,830 490-13.76% 1.68% 1.56% -8.53% -13.76% 21.54% 2.33% 2.33% 可选红利 11135.98 10,220 5,163 529-25.07% 0.94% 1.52% -7.65% -25.07% -18.54% 5.17% 5.17% 上国红利 1145.33 69,261 16,312 3,581-13.19% 0.30% 0.73% -6.81% -13.19% -4.07% 5.17% 5.17% 沪信息红 8406.86 1,844 908 50-27.61% -0.36% 0.71% -10.49% -27.61% -20.58% 2.69% 2.69% 工业红利 6678.94 12,583 4,824 412-17.93% -0.02% 0.67% -2.60% -17.93% -20.29% 3.34% 3.34% 红利低波 7293.04 70,204 20,114 3,183-19.46% 0.74% 0.58% -6.58% -19.46% -7.47% 4.53% 4.53% 沪可选红 8412.64 6,484 2,559 379-28.83% 0.32% 0.57% -11.37% -28.83% -27.67% 5.85% 5.85% 沪工业红 6007.78 7,664 2,910 283-18.12% 0.14% 0.25% -0.95% -18.12% -20.78% 3.69% 3.69% 上红回报 4360.85 34,362 14,164 1,565-21.83% 0.67% -0.14% -12.41% -21.83% -1.97% 4.55% 4.55% 红利指数 2486.08 77,479 21,364 3,927-16.96% -0.16% -0.22% -7.94% -16.96% -10.73% 5.07% 5.07% 民企红利 2906.06 8,538 5,014 333-22.21% -0.58% -0.23% -4.22% -22.21% -23.94% 3.90% 3.90% 中证红利 3836.87 100,452 32,882 4,742-19.24% -0.08% -0.26% -6.62% -19.24% -12.30% 4.73% 4.73% 上红低波 6372.05 74,518 25,114 3,271-19.75% 0.89% -0.66% -7.66% -19.75% -10.06% 4.39% 4.39% 国企红利 1447.40 101,101 32,746 4,733-17.08% 0.05% -0.66% -5.82% -17.08% -4.03% 4.69% 4.69% 央企红利 2536.01 67,917 15,996 3,325-12.53% 0.21% -0.78% -5.95% -12.53% -7.28% 4.91% 4.91% 红利价值 6480.67 74,863 21,304 3,464-20.52% -0.38% -1.12% -7.71% -20.52% -15.55% 4.63% 4.63% 上红潜力 4477.68 57,132 21,199 2,143-20.71% -0.47% -1.18% -14.88% -20.71% 6.30% 3.75% 3.75% 红利回报 4787.48 34,388 15,692 1,193-23.47% 0.99% -1.23% -13.22% -23.47% -0.15% 3.49% 3.49% 上民红利 2011.22 6,207 3,241 292-28.97% -0.56% -1.30% -8.48% -28.97% -30.17% 4.71% 4.71% 300 红利 4915.71 90,165 28,293 4,415-17.86% -0.49% -1.37% -8.75% -17.86% 0.94% 4.90% 4.90% 上红价值 5617.22 78,020 26,220 3,541-20.24% -0.14% -1.39% -8.67% -20.24% -14.90% 4.54% 4.54% 500 红利 6705.62 6,622 3,119 290-24.15% -0.89% -1.61% -5.07% -24.15% -33.24% 4.37% 4.37% 180 红利 3178.50 72,214 18,331 3,740-18.57% -0.64% -1.77% -9.74% -18.57% -4.85% 5.18% 5.18% 上央红利 1807.28 70,310 17,982 3,354-11.40% -0.40% -1.94% -6.62% -11.40% -8.21% 4.77% 4.77% 红利潜力 6600.29 61,813 24,728 2,322-24.02% -0.99% -3.06% -14.50% -24.02% 24.96% 3.76% 3.76% 21/25
沪金融红 5346.11 52,963 13,416 2,400-14.60% -0.06% -3.14% -7.20% -14.60% -7.20% 4.53% 4.53% 信息红利 15737.88 5,811 2,714 131-24.64% -1.50% -3.31% -12.92% -24.64% -22.34% 2.25% 2.25% 金融红利 6515.99 60,928 17,758 2,647-16.95% -0.58% -3.40% -5.95% -16.95% -11.95% 4.34% 4.34% 高分红 4005.86 96,381 32,856 4,603-15.97% -0.19% -3.47% -9.95% -15.97% -1.30% 4.78% 4.78% 材料红利 4806.54 7,199 3,826 398-28.20% -1.94% -3.61% -11.71% -28.20% -20.33% 5.52% 5.52% 沪材料红 4137.59 6,595 3,525 335-25.76% -2.43% -3.76% -13.84% -25.76% -8.47% 5.07% 5.07% 能源红利 3191.84 21,542 2,354 1,028-23.41% -4.08% -6.04% -19.64% -23.41% -23.63% 4.77% 4.77% 医药红利 10850.94 4,733 2,471 126-27.99% 0.01% -6.56% -11.82% -27.99% -33.09% 2.65% 2.65% 沪医药红 5917.64 1,638 858 54-26.42% 0.05% -7.70% -11.50% -26.42% -31.02% 3.32% 3.32% 沪能源红 4634.14 19,679 1,675 930-17.13% -6.26% -8.74% -22.92% -17.13% -7.86% 4.72% 4.72% 表 6: 策略指数市场数据 指数收益指数波动指数绩效 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率 Sharpe Jensen Treynor 50 反两 466.19 33.16% 1.07% 11.20% 22.82% 33.16% -20.93% 33.59% 42.95% 0.71-0.25-0.18 300 反两 614.47 54.37% 1.17% 10.06% 23.72% 54.37% 7.75% 35.60% 41.91% 1.24-0.09-0.27 180 反两 1411.03 40.33% 1.02% 9.15% 21.76% 40.33% -1.15% 32.50% 40.28% 0.94-0.19-0.22 500 反两 265.72 86.88% 2.90% 9.11% 24.28% 86.88% 93.94% 38.32% 47.30% 1.78 0.14-0.39 50 反向 1819.45 20.71% 0.58% 5.75% 12.29% 20.71% -0.30% 16.77% 21.48% 0.85-0.09-0.21 300 反向 2259.02 29.83% 0.63% 5.22% 12.75% 29.83% 16.57% 17.78% 20.96% 1.30-0.03-0.29 300 日报酬反向 1848.21 28.07% 0.61% 5.11% 12.37% 28.07% 11.89% 17.79% 20.96% 1.22-0.05-0.27 500 反向 1743.20 43.65% 1.50% 4.79% 13.22% 43.65% 61.20% 19.13% 23.64% 1.74 0.06-0.38 180 反向 5222.76 23.58% 0.56% 4.77% 11.77% 23.58% 11.26% 16.23% 20.14% 1.05-0.07-0.24 电信等权 2039.05-30.10% 2.20% 3.16% -2.76% -30.10% -37.33% 31.90% 30.30% -1.08 0.07-0.27 消费等权 5243.87-19.69% 0.25% 1.62% -11.34% -19.69% -14.67% 19.47% 26.08% -0.85 0.12-0.21 公用等权 1766.73-19.35% 0.65% 0.49% -2.29% -19.35% -45.11% 14.56% 18.69% -1.17 0.03-0.29 380 稳定 5309.36-23.80% -0.23% -1.59% -9.97% -23.80% -29.60% 17.89% 22.12% -1.19 0.07-0.26 22/25
可选等权 2029.80-34.97% -0.32% -1.69% -10.26% -34.97% -48.73% 19.11% 21.55% -1.74-0.06-0.38 380 动量 4025.05-30.38% -0.53% -2.03% -15.96% -30.38% -41.77% 20.18% 26.11% -1.26 0.06-0.28 380 波动 7703.91-23.32% -0.38% -2.17% -6.78% -23.32% -26.95% 14.43% 18.98% -1.36 0.02-0.30 300SER 4226.20-23.95% -0.26% -2.22% -10.68% -23.95% -22.06% 16.69% 18.73% -1.41 0.02-0.30 工业等权 2267.96-25.28% -1.00% -2.30% -6.77% -25.28% -36.84% 15.81% 19.70% -1.41 0.00-0.32 小康指数 4447.89-23.18% -0.26% -2.41% -10.14% -23.18% -13.98% 15.60% 19.54% -1.31 0.02-0.30 180 低贝 7894.94-23.71% -0.20% -2.66% -8.29% -23.71% -19.86% 13.62% 17.23% -1.52-0.02-0.35 300 低贝 4479.13-24.32% -0.52% -2.74% -8.26% -24.32% -17.24% 14.59% 15.84% -1.69-0.04-0.37 CS 娱乐 1303.13-34.60% -1.24% -2.74% -8.16% -34.60% -62.18% 21.42% 25.75% -1.44 0.00-0.33 180 波动 10810.27-19.12% -0.37% -3.12% -8.03% -19.12% -11.04% 14.66% 17.80% -1.21 0.04-0.27 300 波动 5799.67-20.21% -0.39% -3.29% -7.91% -20.21% -5.40% 14.90% 17.23% -1.32 0.02-0.29 380 基本 5059.09-28.20% -1.30% -3.34% -10.62% -28.20% -35.16% 18.00% 22.50% -1.36 0.03-0.30 180ERC 3593.06-22.84% -0.55% -3.34% -9.35% -22.84% -24.00% 15.47% 18.67% -1.36 0.02-0.30 180 分层 7961.63-24.42% -0.93% -3.38% -11.70% -24.42% -29.31% 16.27% 19.94% -1.35 0.03-0.29 500 波动 8885.90-24.28% -0.70% -3.39% -6.49% -24.28% -25.94% 15.81% 20.16% -1.33 0.02-0.30 380 低贝 4594.78-24.18% -0.84% -3.41% -9.45% -24.18% -31.97% 14.05% 17.93% -1.49-0.01-0.33 材料等权 2382.66-29.56% -2.58% -3.63% -14.59% -29.56% -23.96% 17.30% 23.65% -1.36 0.01-0.31 200 稳定 4381.68-28.25% -0.20% -3.71% -12.17% -28.25% -27.07% 19.45% 21.39% -1.44 0.01-0.31 300ERC 3639.23-25.06% -0.70% -3.73% -10.31% -25.06% -26.98% 16.56% 18.90% -1.46 0.01-0.31 500SER 5757.46-31.00% -0.94% -3.78% -9.60% -31.00% -38.79% 18.13% 21.47% -1.56-0.02-0.34 富国多空 28047.38-14.34% -1.58% -3.81% -13.01% -14.34% 28.77% 15.82% 22.63% -0.74 0.15-0.17 180 基本 9391.62-18.31% -0.67% -3.99% -9.66% -18.31% -6.81% 14.57% 19.16% -1.09 0.04-0.27 500 稳定 6385.73-28.89% -0.67% -4.02% -11.99% -28.89% -35.42% 18.03% 22.16% -1.42 0.02-0.31 银河 99 5643.78-18.30% -0.38% -4.09% -9.65% -18.30% -0.34% 15.53% 20.66% -1.01 0.05-0.26 创业价值 1385.63-32.31% -1.48% -4.14% -9.82% -32.31% -32.16% 16.41% 23.47% -1.48-0.01-0.33 180 等权 6683.02-25.80% -1.05% -4.16% -9.60% -25.80% -32.59% 16.40% 20.33% -1.39 0.02-0.30 180 稳定 8325.29-18.21% -0.26% -4.16% -12.01% -18.21% 1.35% 15.79% 18.64% -1.11 0.05-0.26 380 等权 5028.15-31.57% -1.57% -4.17% -11.09% -31.57% -45.24% 18.31% 23.37% -1.46 0.01-0.32 500 低贝 7125.09-32.57% -1.05% -4.18% -14.48% -32.57% -36.41% 16.44% 18.50% -1.90-0.08-0.42 380ERC 6393.92-29.08% -1.39% -4.20% -9.81% -29.08% -40.93% 17.32% 21.52% -1.47 0.00-0.32 100 稳定 3740.75-17.72% 0.39% -4.20% -12.39% -17.72% 15.44% 16.89% 19.03% -1.06 0.05-0.26 300 分层 3689.56-26.79% -0.77% -4.23% -12.37% -26.79% -28.61% 17.23% 20.11% -1.46 0.01-0.31 500ERC 5493.93-31.13% -1.17% -4.33% -10.15% -31.13% -41.36% 18.04% 21.97% -1.53-0.01-0.33 50 等权 1952.06-22.33% -0.91% -4.41% -9.52% -22.33% -21.11% 16.36% 20.74% -1.20 0.03-0.29 中证龙头 3230.43-27.24% -0.65% -4.46% -13.34% -27.24% -21.92% 19.26% 21.46% -1.39 0.02-0.30 23/25
央视 500 960.39-26.60% -0.67% -4.46% -13.04% -26.60% -22.70% 18.01% 20.76% -1.40 0.02-0.30 50 基本 2606.67-16.00% -0.82% -4.57% -9.92% -16.00% 0.35% 14.89% 20.09% -0.92 0.06-0.25 财富大盘 4134.03-21.64% -0.80% -4.59% -10.36% -21.64% -9.25% 15.47% 19.95% -1.21 0.03-0.29 沪财中小 6382.63-33.29% -1.77% -4.62% -11.87% -33.29% -45.25% 18.98% 24.17% -1.48 0.00-0.33 百发 100 9419.09-27.80% -0.11% -4.67% -14.32% -27.80% -38.39% 21.24% 25.09% -1.21 0.06-0.27 300 稳定 3541.03-22.49% -0.31% -4.71% -12.99% -22.49% -0.85% 17.79% 19.60% -1.27 0.03-0.29 信息等权 2875.28-35.45% -2.61% -4.78% -13.81% -35.45% -58.10% 23.74% 29.60% -1.28 0.01-0.31 500 等权 4993.36-32.92% -1.66% -4.87% -11.94% -32.92% -44.97% 18.94% 23.30% -1.52-0.01-0.33 800 等权 4165.97-31.31% -1.47% -4.94% -11.83% -31.31% -41.41% 18.20% 22.09% -1.53 0.00-0.33 380 高贝 3299.75-36.14% -2.69% -4.94% -12.89% -36.14% -55.44% 21.65% 28.77% -1.34 0.03-0.30 淘金 100 7982.80-28.23% -1.19% -5.00% -13.87% -28.23% -15.77% 19.38% 23.95% -1.28 0.05-0.28 800 动量 2729.19-26.17% -0.52% -5.07% -14.69% -26.17% -16.85% 18.74% 22.48% -1.28 0.03-0.29 300 等权 3077.27-28.61% -1.14% -5.08% -11.66% -28.61% -35.08% 17.48% 20.82% -1.49 0.01-0.32 光大阳光 5055.95-23.21% -0.93% -5.19% -14.91% -23.21% 6.89% 19.16% 24.22% -1.06 0.06-0.26 腾讯济安 1716.37-31.07% -1.56% -5.24% -11.34% -31.07% -34.69% 17.31% 22.04% -1.52-0.01-0.34 等权 90 2164.15-30.29% -1.29% -5.34% -11.87% -30.29% -30.13% 18.11% 22.03% -1.49 0.00-0.33 500 高贝 2983.44-35.75% -2.40% -5.46% -13.64% -35.75% -54.00% 21.06% 27.84% -1.37 0.02-0.31 500 动态 2731.48-37.78% -2.40% -5.59% -14.45% -37.78% -53.83% 20.55% 25.54% -1.58-0.03-0.35 300 动量 3011.87-26.34% -0.58% -5.63% -16.09% -26.34% -8.70% 19.87% 23.52% -1.23 0.03-0.29 金融等权 4117.66-20.42% -0.52% -5.75% -9.81% -20.42% -17.48% 14.65% 21.88% -1.05 0.03-0.29 180 动态 5166.40-26.05% -1.37% -5.76% -10.95% -26.05% -39.07% 17.62% 23.37% -1.22 0.04-0.28 转型成长 20068.24-35.27% -2.12% -5.80% -12.43% -35.27% -36.58% 20.78% 25.02% -1.51-0.02-0.34 180 高贝 4640.10-29.01% -1.86% -5.96% -8.18% -29.01% -39.75% 18.35% 23.87% -1.32 0.03-0.30 300 动态 2188.63-29.46% -1.34% -5.99% -11.83% -29.46% -43.56% 18.35% 23.56% -1.36 0.03-0.30 180 动量 2468.17-21.99% -0.78% -5.99% -15.58% -21.99% -1.83% 17.06% 22.14% -1.11 0.05-0.27 安中动态 854.33-26.62% -0.32% -6.14% -14.98% -26.62% -16.91% 20.73% 20.83% -1.40 0.01-0.31 100 动态 2234.03-26.90% -1.60% -6.27% -12.53% -26.90% -31.45% 18.99% 24.94% -1.18 0.04-0.28 380 动态 2559.88-38.43% -2.68% -6.44% -16.15% -38.43% -55.04% 20.25% 25.75% -1.59-0.03-0.35 200 动态 1921.74-36.25% -1.54% -6.44% -12.50% -36.25% -52.21% 18.92% 24.85% -1.56-0.02-0.34 创业成长 784.76-45.25% -2.06% -6.50% -17.93% -45.25% -53.77% 21.96% 24.62% -1.94-0.12-0.44 300 高贝 1907.68-32.50% -1.94% -6.51% -10.82% -32.50% -45.33% 20.04% 25.03% -1.40 0.02-0.30 能源等权 1738.63-34.71% -3.94% -8.08% -19.45% -34.71% -38.59% 17.67% 25.33% -1.47-0.07-0.40 医药等权 6411.78-25.28% -0.06% -9.54% -16.00% -25.28% -31.60% 24.93% 26.35% -1.05 0.06-0.26 180 两倍 2308.45-43.08% -1.18% -9.59% -23.82% -43.08% -42.38% 32.44% 40.29% -1.13 0.11-0.26 500 两倍 1502.03-59.88% -3.08% -9.89% -27.02% -59.88% -77.98% 38.24% 47.30% -1.32 0.08-0.29 24/25
300 日报酬两倍 1569.69-46.67% -1.25% -10.18% -24.62% -46.67% -41.39% 35.58% 41.91% -1.17 0.12-0.26 300 两倍 961.74-48.97% -1.33% -10.49% -25.45% -48.97% -48.66% 35.54% 41.92% -1.23 0.10-0.27 50 两倍 808.20-41.34% -1.23% -11.31% -24.68% -41.34% -28.88% 33.51% 42.96% -1.02 0.11-0.26 CS 医药 8526.79-22.72% 0.93% -12.19% -20.01% -22.72% -29.32% 31.80% 30.76% -0.82 0.12-0.22 表 7: 基本面指数市场数据 指数收益指数波动指数绩效 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率 Sharpe Jensen Treynor 上证 F200 3841.85-18.68% -0.67% -3.70% -9.53% -18.68% -6.89% 14.85% 19.10% -1.11 0.04-0.27 基本 200 3977.53-19.47% -0.62% -3.72% -9.56% -19.47% -3.63% 15.15% 19.56% -1.12 0.04-0.27 上证 F500 4178.25-20.48% -0.76% -3.85% -9.87% -20.48% -12.55% 15.02% 19.04% -1.21 0.04-0.28 基本 600 4336.94-22.02% -0.79% -3.93% -9.99% -22.02% -11.73% 15.55% 19.63% -1.25 0.04-0.28 基本 300 4756.74-20.62% -0.68% -4.18% -10.52% -20.62% -4.59% 15.39% 20.13% -1.15 0.04-0.27 基本面 50 3750.55-15.46% -0.80% -4.19% -9.89% -15.46% 7.82% 14.93% 20.23% -0.89 0.06-0.24 基本 400 4833.20-31.02% -1.47% -4.78% -11.70% -31.02% -38.15% 18.66% 23.37% -1.43 0.02-0.31 上证 F300 5035.53-31.27% -1.40% -4.89% -12.15% -31.27% -43.07% 18.05% 23.24% -1.45 0.01-0.32 基本 500 4937.91-32.61% -1.57% -5.16% -11.80% -32.61% -47.28% 18.35% 23.59% -1.49 0.00-0.33 25/25
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