定期分析报告 中证指数 5 月份运行报告 目录 5 月份市场概要... 1 A 股主要指数表现... 2 沪深 300 指数分析... 3 主题及行业指数表现... 5 策略指数表现... 6 商品期货指数表现... 8 表 1: 成份指数市场数据... 9 表 2: 综合指数市场数据... 11 表 3: 主题指数市场数据... 12 表 4: 风格指数市场数据... 19 表 5: 红利指数市场数据... 20 表 6: 策略指数市场数据... 22 表 7: 基本面指数市场数据... 25
5 月份份市场概概要 定期分析报告 5 月份国际主主要股指表表现较好, 国际主要指指数皆收涨 美元指数数或受市场对特朗普政府兑现财政刺激激政策的怀怀疑态度以及及欧洲政治治风险退散的的影响而进进入下降通道, 同时人民币汇率月中开开始走强 此外, 美国 5 月份非农数据令人人失望, 非农就业新增 13.8 万人, 远低于预期的 18.5 万人, 受此影响响黄金价格格大幅上涨 月内, 标普 500 指数实现七连涨, 最高触及 2418.71 点, 全月上涨 1.16% 日日经 225 指数上涨 2. 36% STOXX 欧洲 600 延续续上涨态势, 月内上涨 0.75%, 报收 389.99 点, 香港 100 指数月内实现大大幅上涨, 涨幅达到 4.44% 5 月份沪深市市场表现分化 5 月份份官方制造业 PMI 为 51.2%, 与上上月持平, 而财新中国制造业 PMI 降至 49.6,111 个月以来首次落入临临界点以下, 制造业压压力进一步显现 ; 官方非制造业商务活活动指数 54.5%, 较上上月上升 0.5 个百分点, 连续 8 个月保持在 54% 及以上, 位于扩张区间, 保持了平稳较快的的发展势头 ;19 日, 证监会发言言人张晓军首次提及将全面禁止通道业业务, 并强强调不得让渡渡管理责任, 通道业务务就此迎来来全面 封杀 ;27 日, 证监会发布减减持新规, 上交所与深深交所也出出台相关减持持制度, 此举进一步完善了减持制度, 有效地规规范了股东东减持股份的的行为, 修补了现行减减持制度的的漏洞 上证综指底部震荡, 收至 3117.18 点, 全月下跌 1.19% 当月月上海市场场日均成交金金额 1784.67 亿元, 环比减少 23.1% 沪深 A 股规模指数中, 大中小盘指数涨幅分分化, 大盘指数普遍上上涨, 小盘指数普遍下跌 小盘指数中中证 1000 跌幅最大, 跌幅达 8.03%, 其次次为中证 500(-6.24% ) 和中证 200(-4.35%), 沪深 300 指数月内涨幅为 1.54% %, 中证 100 大涨 4.81% 创业板全月下跌 4.70% %, 中小板板指全月下跌 2.94% 5 月份主题及及行业指数表现较差, 保险行业月月内表现突突出, 保险主主题指数涨幅居前, 800 保险险涨幅达 16.34%, 涨幅居首, 中证保险指指数上涨 11%, 涨幅第第二 国防军工主题指数深幅下跌, 中证国防指数下跌 18. 10%, 跌幅幅居首 图 1: 全球主要股股指走势 1 / 25
A 股主主要指数数表现 定期分析报告 5 月份沪深市市场表现分化化 5 月份制造业 PMI 为 51.2% %, 与上月持持平, 而财新中国制造业 PMI 降至 49.6,11 个月月以来首次落入临界点点以下, 制造业压力进进一步显现 ; 官方非制造业商务活动指指数 54.5%,, 较上月上上升 0.5 个百百分点, 连续 8 个月保保持在 54% 及以上, 位于扩张区间, 保持了平稳较快的发展展势头 ;5 月 27 日, 证监会发布布减持新规, 上交所与深交所也出台相相关减持制度, 此举进进一步完善善了减持制度, 有效地地规范了股东减持股份的行为, 修补了了现行减持制制度的漏洞洞 上证综指指底部震荡, 收至 3117.18 点, 全月下跌 1.19% 当月上海市场日均成成交金额 1784.67 亿元, 环比减少 23.1% 沪深 A 股规模指数中, 大中小盘指数涨幅分分化, 大盘指数普遍上上涨, 小盘指数普遍下跌 小盘指数中中证 1000 跌幅最大, 跌幅达 -8.03%, 其次次为中证 500(-6.24% ) 和中证 200(-4.35%), 其余依次是是中证全指 (-3.09%) 中证 800(-0.71% %), 沪深 300 指数月内涨幅为 1.54% %, 中证 100 大涨 4..81% 上海海市场中, 大盘指数实实现大幅上涨, 上证 50 涨幅幅高达 5.63%, 居于首首位, 其次为为上证 180(2.78%) 超大盘 (2.33%), 而上证 380 下跌 7% 创业业板全月下下跌 4.70%, 中小板指指全月下跌 2.94% 图 2: 全市场场主要指数涨涨幅 图 3: 上海市场主要指数涨涨幅 图 4: 深圳市市场主要指数数涨幅 图 5: 中证主要指数市值值覆盖率 2 / 25
沪深 300 指数数分析 定期分析报告 5 月份沪深 300 指数从上上月末 3439.75 点上涨涨至 3492.88 点, 高点点为 3515.08 点, 月涨幅 1. 54% 5 月份沪深 3000 指数日均成交 1056..64 亿元, 环比下降 23.89% 5 月末沪深 300 指数数滚动市盈盈率为 13.633 倍, 与上月末 13.6 倍水平基本本持平 图 6: 沪深 300 指数走势 一级行业指数数呈现两极分化状态, 金融地产大大盘行业涨涨幅居首, 涨幅达到 5.20%, 其次是主要消费 医医药卫生以及公用事业业涨幅在 3% 以上, 分别为 4.36% 3.84% 和 3.09%, 有三条一级行业指指数呈现下下跌态势, 跌幅最大的的为工业, 跌幅达到 -5.05%, 其次为原材料 (-4. 69%) 信信息技术 (-2.58%) 图 7: 沪深 300 行业指数涨跌 图 8: 沪深 300 行业权权重分布 沪深 300 指数数中, 权重排名前三的的行业分别为金融地产产 工业 可选消费, 月末权重分别为 39.98% 15.49% 11.68%, 累计权重 67.14% 电电信业务 能能源行业权权重较低, 3 / 25
分别为 1.66% 和 2.47% 定期分析报告 5 月末沪深 300 指数滚动动市盈率为 13.63 倍, 市净率为 1.77 倍 从从行业来看, 信息技术行业市盈率最高, 滚动市盈率为 31. 73, 与上月 35.22 倍水水平有所下下降 金融地产行业估值水平最低, 滚动市盈率为 8.54 倍, 市净率为 1.33 倍 图 9: 沪深 300 行业业市盈率 图 10: 沪深 300 行业市净净率 沪深 300 指数数权重股中, 中国平安安 招商银银行 贵州茅台位列前前三大权重股, 权重 分别为 5.02% 2..38% 和 2.29% 兴业银行权重位位列第四, 为 2.12%, 民生银行 交通银 行 格力力电器位列 5 6 7 位, 权重为 1.95% 1.75% 和 1.69%, 前 10 大权重股权重合计 21.85% 5 月份对沪深 300 影响最最大的 10 只股票中, 贡献居前股票分别为为中国平安 招商银行和贵州茅台, 分别贡献 27.67 点 12.19 点和 5.32 点, 前 10 只股票票合计贡献 66.28 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
主题及及行业指指数表现 定期分析报告 5 月份主题及及行业指数表表现较差, 保险行业月月内表现突突出, 多条保险指数涨涨幅居前, 800 保险险涨幅达 16.34%, 涨幅居首, 中证保险上上涨 11%, 涨幅第二 在跌幅方面, 多条国防军工指数跌跌幅居首, 其中国防指指数下跌 18.10%, 跌幅居首, 中证空天一体军工工指数下跌 17.6%, 跌幅其次, 上证军工下下跌 17.39% %, 跌幅位列第三 本月下跌主题与行行业指数超 300 条, 比例超过 60%, 单跌幅幅超过 5% 的指数就近 180 条 图 13: 走势领先的 20 条指数 图 14: 走势落后后的 20 条指指数 5 / 25
策略指指数表现 定期分析报告 5 月风格指数数涨幅两极分分化, 上证 180 以及沪沪深 300 相关风格指数数涨幅居前, 而上证 380 以及及中证 500 相关风格指指数涨幅居居后 涨跌幅幅超过 4% 的指数为 180 价值 (5.57%) 180 成长 (5.36%) 沪深 300 价值 (5.09%) 以及及沪深 300 成长 (4.30%); 跌幅幅超过 4% 的指数为 380 成长 (-6.75%) 380 价值 (-5.74%) 中证 500 价值 (-5.68%) 以及中证 500 成长 (-4.98%) 基本面指数多多数上涨, 其中中证锐锐联基本面 50 指数上上涨 5.09%, 涨幅居首, 中证锐联基本面 200 指数数与上证基本面 200 指数涨幅基本持平, 上涨 2.63%; 本月有两条指数下跌严重, 分别为上上证基本面 300 指数 (-6.79%) 中证锐联联基本面 400 指数 (-5.82%) 图 15: 风格指数系系列市场表表现 图 16: 基本面指数系列市市场表现 5 月份红利系系列指数同样样多数上涨, 仅有四条条指数收跌, 分别为 500 红利 (-7.26%) 上民红利 (-3.97%) 380 红利 (-3.95%) 以及民民企红利 (-1.44%) 涨幅超过 5% 的指数有 180 红利 (5.95%) 红红利潜力 ( 5.46%) 上红潜力 (5.31%) 股息率最高的的仍为上证 180 红利 上证红利 沪深 300 红利 3 条指指数, 分别为 3.67% 3.57% 和 3.56% 中中小板板块块与创业板板板块股息率率分别为 1.2% 0.5% 图 17: 红利指数系系列与基准准指数股息率率对比 6 / 25
定期分析报告 5 月份波动率率加权指数系系列的波幅幅较上月略有有下降, 沪深 300 中中证 500 波动率加权指数波幅分别为 10.35% 14.32% 图 18: 波动率加权权指数系列列波幅 图 19: 波动率加权权指数系列涨幅 5 月份高 低贝贝塔指数多多数收跌, 其中收涨指数数仅有两条, 分别为 180 低贝指数 (2.95%) 和 300 低贝指数 ( 1.81%), 其他指数涨跌跌幅分别为 180 高贝 (-3.74%) 380 高贝 (-8.61%) 300 高贝 (-5.08%) 500 高贝 (-6.94%) 以及 500 低贝 (-4.71%) 图 20: 高低贝塔指指数系列贝贝塔值 图 21: 高低贝塔指指数系列涨涨幅 7 / 25
商品期期货指数数表现 定期分析报告 5 月商品期货货指数表现较较差,9 条指数中仅有有一条指数上涨, 其他他指数皆下跌 其中中证化工材料期货货成份指数收红, 涨幅幅为 0.21%, 其余指数数中呈现不同程度的下下跌态势 中证粮油期货成份份指数跌幅幅最大, 达到 -3.15%, 跌幅较大的的还包括中中证工业金属期货成份指数 (-3.08%) 中证工业品期货成成份指数 (-2.99%) 以及中证农农产品期货成份指数 (-2.58%) 图 22: 中证商品期期货成份指指数系列市场场表现 8 / 25
表 1: 成份指数市场数据 指数收益指数波动指数估值 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率市盈率 市净率 股息率 沪深 300 3492.88 5.52% 0.36% 1.54% 1.16% 10.20% 61.97% 9.49% 11.32% 14.34 1.54 2.11% 300 金融 5741.55 4.53% 0.55% 5.20% 1.25% 5.79% 70.61% 16.13% 12.11% 9.11 1.12 3.17% 300 消费 9944.18 20.00% -0.44% 4.36% 12.27% 34.55% 98.00% 18.34% 16.91% 26.23 4.46 2.47% 300 能源 1841.93 5.77% 0.16% 2.28% 0.67% 14.86% 14.64% 11.94% 14.52% 33.75 1.22 1.13% 300 公用 2018.39 14.50% 0.89% 3.09% 10.27% 16.74% 69.60% 9.21% 10.16% 16.65 2.05 2.69% 300 可选 5086.80 9.69% 0.43% 2.03% 3.25% 13.15% 51.45% 9.09% 14.34% 16.87 2.38 2.06% 300 电信 2931.89 4.34% 0.45% 1.93% 5.45% 33.07% 67.45% 12.25% 19.66% 83.20 2.35 0.84% 300 工业 2480.56-0.67% 0.60% -5.05% -5.44% 10.33% 69.91% 12.31% 16.05% 20.47 1.85 1.19% 300 信息 1918.80 1.71% -0.34% -2.58% -0.62% -4.17% 37.08% 15.03% 16.32% 34.77 3.78 0.61% 300 医药 9064.08 13.70% 0.84% 3.84% 10.92% 29.04% 80.33% 12.34% 12.04% 32.29 4.32 0.67% 300 材料 2085.09 2.67% -0.47% -4.69% -5.96% 12.71% 46.14% 13.85% 15.73% 31.66 1.84 0.69% 中证 500 5824.10-7.02% -0.22% -6.24% -9.72% -2.07% 52.10% 16.29% 15.67% 32.49 2.44 0.73% 500 金地 5289.90-6.66% 0.43% -5.23% -7.74% 0.76% 81.08% 14.56% 16.12% 21.08 1.74 1.09% 500 消费 7642.19-5.58% -0.40% -6.04% -8.66% -1.28% 45.30% 12.05% 14.66% 33.77 3.07 1.05% 500 能源 3684.21-14.49% -0.29% -6.21% -18.33% -2.27% 15.43% 23.09% 24.17% 44.42 1.60 0.12% 500 公用 3321.55-14.61% -0.48% -8.65% -15.76% -6.97% 34.71% 25.55% 17.68% 26.96 1.70 1.70% 500 可选 5097.28-9.33% -0.20% -5.52% -10.15% -5.32% 54.09% 13.24% 14.44% 30.91 2.65 0.88% 500 电信 4451.16-2.78% 0.42% -4.90% -5.13% 8.94% 48.54% 15.97% 20.22% 35.04 3.69 0.35% 500 工业 5623.04-5.46% -0.11% -7.72% -8.63% 2.30% 50.05% 21.20% 16.79% 33.99 2.46 0.67% 500 信息 6365.11-9.11% -0.19% -5.69% -9.50% -14.90% 56.84% 17.91% 19.62% 40.50 3.13 0.48% 500 医药 11451.26-6.03% -0.62% -4.54% -7.96% -1.98% 37.34% 13.34% 14.98% 33.06 3.19 0.72% 500 原料 3939.40-5.28% -0.40% -6.86% -12.06% 5.72% 48.76% 18.94% 17.43% 33.56 2.01 0.56% 中证全指 4572.15-4.49% 0.05% -3.09% -6.81% 0.87% 62.59% 11.56% 13.44% 19.98 1.95 1.43% 全指金融 5494.83 3.29% 0.53% 4.08% 0.31% 4.95% 71.39% 15.07% 11.92% 9.53 1.16 2.99% 全指消费 8830.66 0.72% -0.17% -1.74% -2.79% 10.96% 67.97% 12.74% 14.54% 26.99 3.67 2.00% 全指能源 1971.24-3.57% -0.32% -1.44% -7.95% 8.75% 12.81% 15.04% 16.71% 34.16 1.26 0.98% 全指公用 2530.22 0.40% 0.09% -2.40% -3.06% 5.20% 57.32% 14.71% 11.86% 18.67 1.85 2.64% 全指可选 5442.52-3.83% 0.16% -2.96% -6.67% -0.60% 54.36% 10.02% 14.33% 23.40 2.57 1.35% 9/25
全指电信 5873.20-7.33% 0.44% -3.42% -7.13% 5.67% 72.46% 14.18% 16.90% 52.50 2.79 0.52% 全指工业 3741.29-7.36% 0.08% -7.12% -10.07% 1.11% 62.79% 16.30% 15.93% 27.98 2.30 0.82% 全指信息 5427.93-7.95% -0.23% -4.92% -8.18% -13.51% 49.12% 16.19% 18.75% 42.43 3.71 0.47% 全指医药 9386.27-2.31% -0.01% -1.99% -3.23% 4.98% 45.86% 9.65% 13.40% 34.31 3.76 0.64% 全指材料 3037.62-7.39% -0.44% -6.78% -11.90% 2.14% 54.56% 16.35% 16.40% 36.51 2.18 0.55% 上证 180 7644.96 5.82% 0.39% 2.78% 1.28% 12.03% 62.25% 9.71% 10.82% 12.89 1.36 2.30% 180 能源 1585.38 9.15% 0.62% 4.24% 3.81% 18.35% 12.20% 11.99% 14.05% 34.29 1.19 1.17% 180 材料 1501.08-0.78% -0.26% -4.33% -10.37% 6.12% 26.32% 11.78% 16.14% 32.25 1.65 0.73% 180 工业 2173.55 2.31% 0.73% -3.49% -3.30% 16.05% 70.74% 10.88% 17.13% 18.94 1.78 1.26% 180 可选 2497.47 6.39% 1.00% 3.17% 1.10% 11.37% 40.76% 11.80% 13.88% 14.04 1.95 2.46% 180 消费 7187.32 19.30% -0.88% 4.94% 12.80% 39.60% 106.40% 17.83% 16.56% 31.15 5.11 1.81% 180 医药 4901.41 16.88% 0.77% 5.04% 12.20% 31.85% 70.54% 13.96% 13.07% 33.61 3.88 0.49% 180 金地 4774.38 5.61% 0.38% 5.75% 1.96% 8.15% 71.25% 15.19% 11.55% 8.77 1.08 3.25% 180 信息 2468.07-7.12% -0.36% -6.17% -7.26% -15.30% 28.98% 14.07% 17.89% 27.56 3.90 0.98% 180 电信 2192.48 2.54% 0.28% 1.04% 3.84% 45.64% 73.22% 2.71% 26.49% 72.02 2.22 0.57% 180 公用 1847.71 11.32% 1.03% 3.80% 7.47% 13.21% 68.21% 8.51% 9.94% 16.23 2.07 2.71% 上证 380 5170.31-6.71% -0.21% -7.00% -9.93% 0.23% 56.73% 16.34% 15.11% 26.71 2.30 1.23% 380 能源 1470.16-11.36% -0.86% -4.80% -14.66% 1.03% 32.38% 22.13% 21.01% 31.20 1.48 0.68% 380 材料 3697.77-4.63% -0.31% -6.86% -9.23% 11.32% 46.35% 17.93% 16.42% 30.06 2.08 0.73% 380 工业 5597.03-8.40% -0.23% -10.10% -12.45% -1.47% 58.31% 21.88% 17.07% 24.98 2.10 1.18% 380 可选 5712.24-4.49% 0.09% -4.09% -7.73% -1.23% 71.96% 10.19% 13.33% 25.49 2.57 1.62% 380 消费 7023.19-4.20% -0.66% -6.62% -8.02% 2.37% 50.09% 13.65% 15.39% 32.78 3.45 1.39% 380 医药 9895.66-6.06% -0.23% -4.75% -7.54% 1.63% 42.88% 12.32% 13.87% 30.46 3.39 1.06% 380 金融 4672.47-12.07% -0.09% -9.32% -12.06% -7.66% 51.69% 13.99% 16.30% 15.86 1.52 0.94% 380 信息 5207.61-10.82% -0.25% -5.57% -10.97% -13.43% 61.15% 20.35% 20.19% 36.63 3.56 0.57% 380 电信 5819.58-0.95% 0.87% -5.16% -6.53% 18.80% 117.87% 25.56% 24.46% 29.69 3.53 0.73% 380 公用 2261.31-2.36% -0.14% -7.40% -6.03% 2.41% 46.57% 24.95% 15.83% 22.68 1.78 2.64% 中证超大 3046.90 8.86% 0.68% 3.80% 4.19% 19.34% 77.73% 10.06% 11.59% 11.36 1.26 2.79% 中证 100 3445.58 9.93% 0.44% 4.81% 5.10% 15.40% 72.46% 10.51% 10.90% 12.66 1.37 2.47% 中证 200 3988.96-2.22% 0.21% -4.35% -5.78% 1.19% 45.03% 12.42% 13.72% 23.51 2.32 1.09% 中证 700 4810.69-4.81% -0.02% -5.36% -7.90% -0.57% 48.75% 14.19% 14.59% 27.50 2.38 0.90% 中证 800 3893.98 1.76% 0.20% -0.71% -2.07% 6.53% 59.17% 9.85% 12.04% 16.36 1.67 1.80% 10/25
300 沪市 3228.01 6.22% 0.37% 2.78% 1.50% 12.44% 65.31% 9.68% 10.83% 12.94 1.36 2.30% 500 沪市 5823.79-7.79% -0.13% -7.22% -11.07% -1.03% 47.46% 16.66% 15.46% 30.72 2.17 0.87% 超大盘 2250.17 6.30% 0.32% 2.33% 2.31% 20.23% 65.11% 10.55% 12.59% 14.73 1.37 1.95% 上证 50 2479.08 8.40% 0.32% 5.63% 4.57% 15.00% 67.27% 12.54% 11.07% 11.32 1.20 2.68% 上证中盘 3304.43 1.64% 0.51% -1.80% -3.94% 7.34% 54.14% 8.58% 11.95% 19.29 1.95 1.40% 上证小盘 4340.28-6.91% -0.25% -7.12% -10.54% -0.53% 52.81% 17.36% 15.38% 29.79 2.20 1.11% 上证中小 3781.43-2.64% 0.14% -4.42% -7.22% 3.42% 53.51% 11.79% 13.19% 23.06 2.06 1.26% 上证全指 3036.60 2.30% 0.23% 0.10% -1.98% 8.57% 60.23% 9.26% 11.25% 14.57 1.48 2.05% 上证 100 5744.83-5.47% -0.11% -7.04% -8.83% 2.20% 51.95% 15.76% 14.21% 23.35 2.66 1.27% 上证 150 5199.00-21.17% -0.19% -11.13% -21.85% -12.78% 57.97% 19.01% 17.45% 57.55 3.05 0.23% 市值百强 2495.56 6.86% 0.36% 4.04% 2.63% 13.32% 63.92% 10.71% 10.96% 12.16 1.28 2.43% 上证能源 1550.47-0.79% -0.08% 0.21% -4.79% 9.98% 13.18% 12.86% 15.56% 33.93 1.23 1.05% 上证材料 1773.18-0.83% -0.25% -5.25% -9.08% 9.27% 35.12% 12.54% 15.34% 30.18 1.76 0.72% 上证工业 2315.57 0.96% 0.64% -4.23% -4.56% 13.94% 79.54% 10.69% 16.72% 19.33 1.77 1.26% 上证可选 2805.21 2.78% 0.45% 0.33% -1.61% 7.10% 47.78% 9.21% 12.56% 17.41 2.09 2.07% 上证消费 6635.88 4.83% -0.35% -1.26% -0.58% 17.94% 67.25% 13.77% 14.48% 31.80 4.20 1.64% 上证医药 6237.79 4.76% 0.32% 0.36% 2.14% 15.85% 55.47% 10.46% 12.06% 33.43 3.59 0.71% 上证金融 4612.12 7.93% 0.36% 7.40% 4.21% 9.43% 71.67% 16.25% 11.63% 8.45 1.05 3.41% 上证信息 3261.19-12.82% -0.38% -7.19% -12.09% -17.34% 33.33% 16.20% 18.04% 31.51 3.79 0.74% 上证电信 2938.60-4.46% 0.33% -4.15% -6.36% 12.86% 68.67% 14.06% 20.07% 55.29 2.52 0.56% 上证公用 2264.14 5.17% 0.38% -0.96% 1.16% 7.17% 54.44% 11.46% 10.82% 17.40 1.92 2.86% 表 2: 综合 指数特征 指数收益 指数估值 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率市盈率 市净率 股息率 综合指数 2838.24 5.49% 0.21% 3.44% 1.00% 7.98% 58.42% 10.71% 10.47% 9.81 1.18 2.88% 地产指数 6920.50 5.42% 1.04% 0.15% 2.35% 30.14% 114.86% 13.77% 19.64% 12.13 1.62 1.48% 新综指 2632.17 0.47% 0.23% -1.17% -3.82% 6.92% 52.88% 8.70% 11.27% 16.21 1.62 1.75% A 股指数 3264.54 0.46% 0.23% -1.18% -3.83% 6.94% 52.90% 8.70% 11.27% 16.21 1.62 1.75% 上证指数 3117.18 0.44% 0.23% -1.19% -3.84% 6.88% 52.86% 8.70% 11.26% 16.22 1.62 1.74% 11/25
上证流通 1122.53-1.69% 0.15% -1.84% -5.31% 5.78% 62.48% 10.05% 11.83% 16.21 1.62 1.75% 中证流通 4852.42-4.74% 0.04% -3.39% -7.15% 1.07% 65.16% 11.94% 13.57% 20.51 2.01 1.35% 公用指数 6129.52 2.51% 0.58% -3.39% -2.52% 13.99% 83.31% 11.15% 13.77% 21.35 1.77 1.67% 工业指数 2431.17-2.22% 0.08% -3.40% -6.41% 6.31% 44.66% 10.73% 12.69% 28.84 2.13 1.05% B 股指数 320.96-6.10% 0.04% -4.23% -7.77% -7.94% 43.98% 12.10% 12.92% 19.47 1.30 0.15% 商业指数 3641.33-11.75% 0.72% -6.48% -14.53% -13.88% 47.68% 16.76% 18.41% 21.57 2.09 0.63% 中型综指 1314.86-16.32% -0.17% -8.94% -17.12% -10.09% 54.28% 18.51% 17.03% 42.73 3.14 0.51% 表 3: 主题指数市场数据 指数特征 指数收益 指数估值 指数 样本数量 总市值 ( 亿 ) 调整市值 ( 亿 ) 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 市盈率 市净率 保险主题 20 39,476 13,984 1865.4 14.37% 0.06% 12.13% 12.24% 20.01% -- 19.30 1.45 中证保险 20 35,257 11,773 1786.5 11.98% 0.09% 11.00% 10.97% 16.33% -- 23.63 1.53 泛珠三角 45 43,151 25,722 6943 15.97% 0.18% 7.26% 10.76% 20.50% 98.13% 14.81 2.04 180 金融 36 82,517 30,545 4835.64 6.77% 0.26% 6.82% 2.87% 8.71% 71.33% 8.50 1.04 沪珠三角 41 32,575 18,480 4925.52 12.60% -0.23% 6.71% 7.77% 17.68% 92.68% 14.21 1.78 上证海外 42 105,277 29,130 1171.84 10.02% 0.41% 6.20% 4.69% 14.63% 67.14% 11.34 1.14 上证银行 14 56,387 16,008 818.27 5.52% 0.14% 6.17% 0.27% 7.05% 67.50% 6.62 0.85 内地银行 16 58,686 17,158 5837.03 5.42% 0.22% 5.96% 0.07% 7.22% 67.18% 6.65 0.86 上证周期 50 114,695 36,046 2934.3 6.86% 0.36% 5.93% 2.76% 9.08% 60.45% 10.57 1.10 180 运输 10 7,704 2,532 1079.12 17.23% 0.86% 5.69% 10.20% 19.79% 55.10% 20.63 1.81 细分金融 50 90,864 34,064 5715.11 4.66% 0.32% 5.63% 1.20% 6.44% 68.26% 8.84 1.07 内地金融 50 90,459 33,847 6000.48 4.58% 0.33% 5.62% 1.17% 6.36% 68.72% 8.82 1.07 800 金融 52 91,228 34,339 5711.41 4.63% 0.32% 5.53% 1.17% 6.45% 68.46% 8.87 1.07 300 非银 33 31,975 16,846 8840.5 3.91% 0.44% 5.23% 2.34% 5.33% 73.02% 22.04 1.97 责任指数 99 73,017 33,425 1310.25 7.85% 0.31% 4.76% 3.50% 16.62% 75.87% 12.06 1.40 300 消服 17 10,833 6,218 6569.42 19.06% 0.66% 4.24% 9.27% 29.98% 89.00% 18.73 2.51 300 周期 109 144,441 48,508 3446.88 5.01% 0.45% 4.07% 0.79% 7.17% 63.27% 11.45 1.19 中证证保 32 31,136 16,434 930.93 1.29% 0.52% 3.86% 0.09% 1.31% -- 22.28 1.95 180 治理 100 121,769 44,367 903.87 6.81% 0.44% 3.86% 2.23% 14.44% 63.94% 11.35 1.28 12/25
内地消费 50 36,256 16,690 6585.53 15.25% 0.04% 3.80% 8.15% 23.09% 68.37% 19.22 2.96 长三角 50 34,450 16,662 4231.24 5.22% 0.80% 3.65% 1.34% 9.67% 67.19% 14.07 1.66 800 证保 36 32,541 17,181 5759.37 1.49% 0.51% 3.61% 0.05% 2.55% 73.51% 22.25 1.98 沪城消费 50 27,281 12,316 1554.69 10.50% 0.13% 3.35% 5.45% 20.76% 53.66% 21.65 2.86 沪长三角 49 31,776 15,220 3220.74 2.92% 0.68% 3.05% -0.70% 9.04% 66.47% 13.29 1.46 上证央企 50 110,341 26,583 1516.66 7.52% 0.54% 3.01% 2.39% 15.64% 68.66% 11.89 1.18 城镇消费 100 54,885 25,134 1572.82 11.99% 0.16% 2.92% 6.80% 20.63% 62.76% 22.20 3.17 上证国企 100 152,188 47,317 986.75 5.48% 0.43% 2.80% 0.92% 12.33% 64.33% 12.14 1.25 消费服务 100 116,155 44,490 6695.23 6.29% 0.08% 2.75% 3.19% 8.98% 53.96% 10.91 1.35 300 公运 31 18,748 6,910 1578.56 9.34% 0.66% 2.74% 5.26% 11.31% 68.28% 19.14 1.93 CS 轻资产 100 75,332 36,027 4795 9.16% 0.06% 2.74% 6.11% 11.47% -- 26.19 2.91 中证白酒 16 10,837 4,701 4103.01 21.37% -0.35% 2.71% 9.83% 38.20% -- 30.61 5.16 ESG 40 40 82,721 27,152 1390.73 8.30% 0.63% 2.56% 1.92% 21.03% 78.40% 9.36 1.12 上证地企 50 41,847 20,733 1065.67 3.00% 0.28% 2.52% -0.88% 8.34% 58.51% 12.85 1.50 上证沪企 50 33,354 14,889 2330.51 2.60% 0.77% 2.43% -1.04% 8.22% 58.86% 13.71 1.46 消费 80 80 34,239 15,330 4035.97 9.23% 0.15% 2.15% 4.53% 19.13% 62.45% 22.67 2.96 钱江 30 30 11,320 4,563 1162.34 7.96% -0.11% 1.64% 3.22% 7.49% 51.47% 18.56 2.82 消费 50 50 25,209 10,423 6545.31 7.07% 0.11% 1.61% 1.84% 16.37% 60.25% 20.37 2.66 环渤海 46 73,214 14,513 2536.62 9.77% 0.34% 1.47% 4.94% 16.24% 49.05% 13.07 1.29 轻工产业 82 28,802 15,381 3642.25 14.47% -0.14% 1.42% 7.08% 25.55% 84.79% 24.71 3.69 央企 100 99 130,682 35,438 1671.51 6.23% 0.52% 1.42% 0.87% 12.96% 72.89% 12.62 1.27 沪环渤海 42 70,887 13,071 2325.35 7.92% 0.61% 1.40% 3.49% 14.83% 53.28% 12.58 1.26 上证龙头 70 118,177 35,304 3207.4 5.44% 0.59% 1.35% 0.94% 13.21% 68.02% 13.29 1.36 治理指数 311 150,150 57,529 998.31 3.59% 0.27% 1.28% -0.93% 11.42% 64.34% 12.57 1.35 国企 200 199 197,243 67,916 1050.7 5.91% 0.34% 1.24% 0.57% 12.45% 67.67% 13.43 1.38 食品饮料 50 15,618 7,503 10247.09 9.95% -0.45% 1.22% 4.06% 22.55% 78.79% 29.45 4.61 细分食品 50 14,963 7,369 10197.26 10.90% -0.44% 1.18% 4.60% 24.42% 87.25% 30.75 4.74 消费领先 100 89,150 36,489 6833.77 3.63% 0.10% 1.18% 1.05% 11.77% 57.82% 10.71 1.32 地企 100 100 66,561 32,478 1101.39 5.56% 0.13% 1.04% 0.25% 11.86% 61.57% 15.35 1.67 中证下游 200 78,534 36,570 4871.74 5.15% 0.14% 0.68% 1.42% 8.85% 55.68% 24.56 2.88 内地运输 28 10,950 4,047 1734.51 8.05% 0.63% 0.62% 1.94% 10.19% 84.32% 22.55 1.81 细分医药 50 15,593 7,991 8909.36 6.90% 0.23% 0.61% 4.17% 16.99% 56.97% 32.90 3.92 13/25
沪消费品 50 18,544 8,913 7229.82 7.13% 0.19% 0.35% 2.37% 19.74% 69.32% 33.79 3.86 ESG 100 100 136,008 51,023 1103.23 8.63% 0.32% 0.11% 1.30% 18.91% 85.24% 10.43 1.29 沪股通 570 241,507 91,294 2824.84 2.31% 0.22% 0.07% -1.88% 8.79% 69.28% 14.55 1.49 沪中部 33 8,729 4,174 3385.34 7.20% 0.17% -0.29% 0.62% 15.62% 49.48% 21.62 1.91 180 基建 22 22,985 8,263 2017.52 7.55% 0.95% -0.33% 2.73% 28.51% 94.77% 16.50 1.76 上证下游 182 54,648 24,101 3662.83 2.96% 0.13% -0.36% -0.37% 11.35% 59.06% 24.09 2.51 医药生物 100 21,433 10,941 9234.16 1.70% 0.05% -0.39% 0.33% 8.48% 47.89% 34.30 3.86 优势消费 50 19,011 9,598 5845.42 4.75% 0.04% -0.48% 1.34% 15.94% 55.85% 31.90 4.37 非周民企 100 41,542 19,232 1319.57 3.88% 0.38% -0.56% 1.66% 2.24% -- 27.02 3.61 中证服务 300 176,940 70,534 4193.18-0.60% 0.48% -0.63% -3.07% 0.91% 62.07% 12.22 1.41 CS 智消费 100 27,613 14,533 2431.48 3.86% 0.25% -0.63% 0.59% 5.11% -- 21.97 3.02 CS 食品饮 77 17,396 8,372 9310.62 4.61% -0.32% -0.70% -0.18% 15.71% -- 30.60 4.35 中证酒 27 11,716 5,124 2590.94 8.59% -0.42% -0.72% 0.48% 21.43% -- 31.41 4.89 300 基建 27 24,908 9,021 2208.84 7.77% 0.76% -0.80% 2.91% 25.90% 94.63% 16.66 1.78 300 非周 191 104,321 48,715 3803.88 6.04% 0.26% -0.85% 1.54% 13.45% 59.67% 22.20 2.58 上国改革 50 39,674 14,872 1540.29 4.78% 0.52% -0.88% -1.02% 17.16% -- 16.89 1.73 细分地产 50 16,118 7,272 6260.62-0.84% 1.35% -0.89% -1.96% 1.69% 94.82% 14.48 1.91 内地地产 49 15,260 7,143 6621.77-0.53% 1.47% -0.98% -2.17% 2.88% 97.84% 13.80 1.82 非周期 100 60,723 26,828 2605.41 5.18% 0.34% -1.06% 0.36% 17.22% 62.50% 20.10 2.25 上证养老 40 25,170 13,199 9083.64-2.77% 0.00% -1.13% -3.47% 3.02% 48.99% 25.46 2.68 沪互联网 86 25,550 15,039 1927.87-5.26% 0.06% -1.21% -6.24% -1.69% -- 15.03 1.70 中证央企 323 155,099 45,939 1868.71 1.74% 0.26% -1.33% -3.53% 8.85% 72.10% 13.89 1.37 细分能源 49 29,242 4,148 2104.04-3.40% -0.19% -1.35% -7.76% 8.90% 13.33% 34.40 1.26 中部崛起 40 12,455 5,543 3238.07 4.02% 0.13% -1.37% -2.00% 10.75% 41.73% 22.49 2.14 互联网 150 52,059 27,691 2612.53-2.62% -0.03% -1.39% -4.05% -4.51% -- 19.96 2.14 中证中药 46 7,942 4,283 11340.98 0.64% 0.37% -1.51% -0.24% 11.87% -- 32.40 3.62 汽车产业 29 11,355 4,468 4298.32 2.48% 0.25% -1.56% -1.75% 11.38% 57.72% 14.19 1.97 西部开发 43 16,478 7,849 6041.1-0.56% -0.31% -1.66% -2.33% 8.83% 52.83% 26.29 3.23 电子产业 138 37,602 20,645 3221.07 3.21% 0.01% -1.80% 0.08% 2.98% 57.99% 30.55 3.32 上证民企 50 19,850 11,236 1537.33 1.05% 0.22% -1.81% -2.67% 5.71% 48.08% 18.19 2.20 民企 200 200 65,769 31,432 1592.36-0.76% 0.25% -1.83% -2.88% 0.28% 45.29% 23.80 2.88 CS 广东 43 10,355 4,391 1724.16-2.00% 0.71% -1.92% -4.98% 2.11% -- 18.81 2.10 14/25
300 信服 61 24,085 11,880 2032.88-0.47% -0.15% -1.95% -2.31% -4.03% 26.43% 35.63 3.37 内地基建 50 29,051 10,835 2153.38 5.41% 0.62% -2.12% 0.87% 21.98% 89.32% 17.72 1.79 中证城镇 248 102,251 47,477 1865.59 3.83% 0.30% -2.15% 0.01% 9.21% 66.46% 20.96 2.70 国企改革 100 52,752 20,969 1481.94 5.45% 0.25% -2.20% -0.90% 17.40% -- 18.79 1.86 沪东北 31 7,218 4,332 3634.08-4.01% -0.01% -2.22% -6.58% 2.71% 39.52% 26.47 2.38 中证国企 1019 276,777 102,372 1226.16-0.27% 0.15% -2.33% -5.03% 7.63% 64.66% 15.74 1.54 混合改革 58 29,522 10,057 1740.37 2.51% 0.32% -2.39% -3.82% 10.31% -- 18.17 1.80 180 资源 15 26,644 3,650 2339.92 1.08% 0.21% -2.40% -6.31% 8.11% 16.54% 37.99 1.26 上证汽车 50 11,739 4,119 5552.63 2.81% 0.45% -2.51% -3.85% 12.85% -- 16.06 2.05 CS 电子 100 21,981 10,660 5352.15 2.78% -0.15% -2.61% -0.26% -0.74% -- 35.90 3.10 信息产业 100 33,171 15,852 4870.86-1.59% -0.06% -2.62% -3.44% -5.79% 35.48% 35.78 3.40 东北振兴 38 8,500 4,785 4059.19-5.61% 0.05% -2.62% -7.71% -0.70% 35.74% 23.00 2.18 兴证海西 174 21,272 10,990 1472.23-6.30% -0.03% -2.63% -8.23% -3.36% 66.04% 19.68 2.05 智能交通 50 11,280 5,481 2316.62-0.97% -0.10% -2.89% -2.18% -3.33% 54.62% 31.95 3.52 城镇基建 100 33,352 14,656 1748.28-1.03% 0.96% -3.00% -3.69% 10.39% 93.80% 15.58 1.74 领先行业 150 85,496 37,745 8513.12 0.32% -0.01% -3.02% -4.11% 7.97% 78.92% 11.52 1.62 中证地企 696 121,678 56,433 1299.6-1.85% 0.06% -3.13% -6.22% 6.66% 58.80% 18.98 1.82 石化产业 56 33,278 6,448 1115.46-1.45% 0.00% -3.15% -4.91% 12.84% 36.41% 31.86 1.35 城镇交通 100 32,067 14,469 2104.67-0.46% 0.31% -3.21% -4.22% 0.11% 66.37% 20.63 2.40 医药 100 100 22,065 11,274 12764.6-4.49% -0.30% -3.23% -5.49% 0.71% 47.77% 33.44 3.78 物流产业 21 6,832 2,599 1438.34 2.06% 0.44% -3.27% -3.87% 4.52% 63.01% 23.58 1.77 煤炭指数 23 7,477 1,773 2437.66-2.65% -0.43% -3.30% -7.63% 12.24% 43.32% 24.04 1.33 上证上游 49 33,314 6,234 2112.68-3.35% -0.24% -3.43% -9.43% 4.82% 22.67% 37.15 1.34 上证城镇 218 66,019 30,114 1882.67 0.71% 0.07% -3.46% -3.47% 8.41% 56.87% 20.32 2.37 中证安防 36 6,162 2,733 2591.64-2.58% -0.44% -3.52% -4.07% -7.19% -- 28.01 4.50 TMT 150 149 32,820 16,779 1734.17-5.70% -0.14% -3.67% -6.66% -8.72% 43.17% 37.86 3.24 沪城交通 50 19,068 7,690 2093.9-2.94% 0.69% -3.76% -7.42% 2.93% 95.38% 17.30 1.94 沪城基建 50 22,443 9,216 1760.23-1.93% 0.99% -3.77% -5.55% 17.36% 93.47% 14.60 1.62 纺织产业 25 3,588 1,582 1885.2-6.26% 0.01% -3.78% -7.36% -2.70% 62.19% 24.94 2.26 中证文化 50 13,872 6,090 2139.21-10.88% -0.07% -3.78% -12.29% -20.86% 13.55% 35.66 3.67 CS 休闲娱 100 16,249 6,638 5236.22-10.54% -0.23% -3.85% -11.35% -15.35% -- 30.49 3.21 中证上游 50 34,505 7,126 2347.17-2.05% -0.29% -3.88% -8.89% 4.72% 19.59% 38.07 1.40 15/25
CS 稀金属 16 3,086 1,558 1146.44 2.96% -0.92% -3.89% -6.48% -10.90% -- 83.27 3.97 上证商品 50 33,964 6,613 1638.89-3.23% -0.11% -3.92% -8.74% 6.42% 30.10% 36.21 1.35 中证旅游 23 3,095 1,330 3887.14-5.16% -0.62% -4.02% -8.20% -6.26% -- 23.08 2.64 内地资源 50 33,428 6,878 2421.52-2.18% -0.23% -4.04% -8.86% 3.19% 22.83% 39.48 1.38 CS 汽车 AM 38 14,763 8,764 2135.7-3.01% 0.14% -4.04% -5.37% -5.23% -- 16.40 2.08 上证健康 50 11,651 6,837 1401.83-1.39% -0.20% -4.04% -3.21% 6.03% 52.46% 34.41 3.77 资源 50 50 34,383 6,854 2277.42-2.56% -0.13% -4.10% -8.19% 7.52% 27.94% 35.50 1.36 上证资源 50 33,397 6,300 1834.45-4.56% -0.35% -4.13% -10.49% 3.56% 20.31% 37.22 1.34 浙企综指 311 36,850 15,954 6921.46-9.02% -0.08% -4.14% -9.45% -5.16% 70.70% 28.89 3.00 中证汽车 94 16,179 6,622 5502.2-4.76% 0.10% -4.14% -7.86% -0.02% -- 17.52 2.12 中证传媒 50 12,771 5,715 1815-13.46% 0.08% -4.17% -13.90% -24.48% 15.81% 34.72 3.55 移动互联 100 20,778 10,644 2243.14-7.27% 0.08% -4.22% -7.04% -13.12% -- 38.17 3.42 沪西部 34 12,264 6,284 5019.48-2.75% -0.50% -4.22% -5.23% 4.08% 41.48% 30.58 3.45 中证钢铁 39 9,582 2,921 1305.84 0.58% -0.58% -4.27% -8.98% 18.26% -- 34.72 1.74 文体休闲 50 12,347 6,074 1186.46-11.04% -0.13% -4.27% -12.67% -20.54% -- 36.95 3.25 智慧城镇 100 23,621 12,008 2071.04-5.69% 0.07% -4.33% -6.90% -11.56% 30.27% 31.33 3.39 中证煤炭 29 7,863 1,901 1508.01-4.42% -0.39% -4.33% -10.12% 9.76% -- 24.07 1.31 大消费 359 95,204 44,620 7976.59-8.10% -0.04% -4.34% -8.76% -4.72% 47.71% 25.38 3.02 中证 TMT 99 28,495 14,349 1954.53-8.76% 0.09% -4.35% -9.19% -12.82% 41.72% 36.88 3.26 中证新兴 100 45,156 21,609 7499.28-2.24% 0.27% -4.38% -4.57% -0.35% 44.53% 26.89 3.05 内地农业 36 7,440 4,293 4291.7-6.60% -0.08% -4.43% -7.18% -1.70% 31.01% 24.58 2.78 中证安全 87 12,160 6,136 2657.17-1.59% -0.34% -4.45% -1.53% 0.76% -- 32.08 4.04 持续产业 40 12,652 5,158 1102.25 3.19% 0.34% -4.51% -1.06% 7.90% 43.14% 22.64 2.38 互联金融 59 21,538 12,992 2687.77-12.74% -0.01% -4.54% -11.94% -16.75% -- 12.76 1.50 医药主题 50 10,774 5,807 9588.91-6.59% -0.20% -4.56% -7.85% 1.72% 50.30% 32.12 3.57 沪绿色城 50 13,088 5,485 1787.87 1.60% -0.01% -4.64% -3.84% 6.00% 47.44% 18.29 2.21 资源 80 80 40,669 10,398 2854.75-2.96% -0.23% -4.68% -8.22% 7.42% 37.28% 35.34 1.49 钢铁产业 11 4,575 1,735 896.39 9.66% -0.65% -4.69% -4.33% 24.85% 56.71% 29.64 1.16 中证文体 100 18,742 8,597 2188.46-13.30% -0.08% -4.80% -13.56% -21.55% -- 36.28 3.45 CS 上海 50 12,844 5,963 2561.53-10.10% 0.53% -4.82% -12.82% -9.22% -- 22.62 2.06 沪信息业 50 11,493 5,984 4129.48-8.94% 0.03% -4.88% -9.03% -8.67% 30.38% 32.33 2.82 智能家居 100 27,273 15,040 2654.69-8.10% -0.08% -4.88% -8.41% -12.18% -- 27.56 3.34 16/25
CS 计算机 99 13,497 6,773 6527.99-11.22% -0.54% -4.97% -9.76% -19.18% -- 36.21 4.06 健康产业 100 25,779 12,813 1908.7-2.22% -0.09% -4.99% -3.24% 6.96% 54.39% 27.81 3.79 A 股资源 50 34,829 7,051 3902.78-5.66% -0.55% -5.02% -11.59% 3.79% 30.26% 37.85 1.37 技术领先 200 53,569 25,712 6375.34-5.81% -0.14% -5.07% -7.31% -4.03% 41.15% 32.18 3.09 沪新丝路 52 43,261 11,116 1595.3-0.10% 0.57% -5.14% -6.77% 15.70% -4.40% 25.36 1.41 浙江民企 261 27,512 12,194 8026.98-12.06% -0.11% -5.15% -11.49% -10.00% 66.12% 32.72 3.24 资源优选 199 59,943 19,066 2242.93-3.59% -0.35% -5.26% -9.12% 5.05% -- 34.03 1.59 中证核电 48 7,925 3,311 2881.04-6.72% -0.02% -5.28% -9.41% -0.37% -- 26.66 1.93 上证移动 50 10,692 5,421 2012.84-8.68% 0.17% -5.31% -10.07% -9.08% -- 27.06 2.75 中证民企 2046 208,906 94,867 2146.01-10.02% -0.09% -5.34% -10.39% -5.97% 67.03% 34.58 3.33 中证医疗 41 3,806 2,063 6867.56-14.46% -1.08% -5.38% -11.41% -15.80% -- 46.30 4.52 中证中游 248 72,638 34,546 3108.83-0.16% -0.03% -5.41% -4.56% 9.27% 59.70% 25.42 2.21 优势资源 41 25,245 4,890 3269.93-4.82% -0.41% -5.48% -11.78% 3.92% 34.87% 56.36 1.40 煤炭等权 29 7,863 1,901 1968.98-9.24% -0.33% -5.51% -13.94% 6.83% -- 24.07 1.31 沪互金融 18 13,390 8,851 2560.28-11.80% -0.23% -5.51% -12.44% -15.06% -- 10.08 1.32 一带一路 77 47,008 13,359 1661.24-1.06% 0.40% -5.69% -7.48% 14.29% -- 25.47 1.45 绿色城镇 100 24,191 11,681 1775.32 0.51% -0.02% -5.73% -3.65% 5.32% 51.30% 21.94 2.60 上证休闲 50 6,907 3,066 1154.19-12.67% -0.16% -5.75% -13.44% -12.23% -- 31.92 2.94 CS 能源互 53 7,924 4,222 1563.87-7.92% 0.19% -5.81% -8.39% -3.31% -- 28.71 2.80 大宗商品 96 41,548 10,774 3880.3-8.54% -0.30% -5.85% -12.67% 1.70% 50.18% 35.06 1.48 上证文化 44 6,261 2,856 1747.35-12.73% -0.24% -5.93% -13.45% -11.76% 7.33% 31.58 2.99 上证新兴 50 24,164 11,298 6311.99-4.65% 0.30% -5.97% -8.76% -0.21% 43.99% 25.50 2.67 中证软件 100 14,144 7,506 7357.99-16.19% -0.17% -6.10% -14.41% -27.08% -- 46.84 4.13 CS 智慧农 40 4,538 2,495 1341.44-12.36% -0.74% -6.13% -10.54% -13.08% -- 27.59 2.29 内地低碳 50 16,886 7,693 1243.28 2.99% -0.10% -6.18% -0.82% 6.27% 44.22% 24.05 2.71 精工制造 200 56,357 25,335 2948.91-3.81% 0.34% -6.20% -7.23% 4.12% -- 23.68 2.06 细分化工 50 9,842 4,617 3111.53-6.84% -0.25% -6.30% -7.92% 3.04% 52.77% 28.19 2.55 工业 4.0 46 5,456 3,082 2276.44-10.94% -0.13% -6.35% -10.86% -13.48% -- 46.26 3.50 上证中游 177 46,440 20,981 2766.68-2.43% 0.16% -6.47% -8.14% 7.39% 59.72% 22.63 1.93 智能资产 180 23,281 13,317 9731.89-12.02% -0.36% -6.50% -12.11% -9.91% 82.78% 27.64 3.13 机器人 51 5,335 2,539 1277.19-11.81% -0.36% -6.51% -11.46% -13.96% -- 46.18 3.17 环保 50 50 16,282 7,459 1735.62 0.07% -0.16% -6.62% -2.74% 9.49% -- 24.32 2.71 17/25
上证基建 38 13,765 5,239 9730.32-0.60% 0.59% -6.63% -8.15% 19.31% -- 19.39 1.74 稀土产业 31 4,850 2,542 1340.34-11.04% -0.29% -6.70% -15.38% -18.15% -- 63.51 2.26 中证环保 100 21,811 10,339 1661.93-5.45% -0.24% -6.73% -6.92% 1.09% 45.27% 26.86 2.70 中证高装 200 40,987 20,186 4606.3-5.35% 0.13% -6.86% -8.16% -2.68% -- 38.10 2.93 新材料 50 10,660 5,758 2645.12-1.70% -0.49% -6.86% -8.21% -2.36% -- 36.14 2.68 农业主题 40 6,158 3,166 1089.16-11.22% 0.08% -6.90% -11.87% -2.08% 42.18% 27.96 3.27 CS 土改农 34 3,566 1,698 1043.34-12.94% -0.73% -6.91% -12.51% -7.07% -- 35.83 2.26 上证环保 40 11,344 4,877 1516.9-4.56% -0.46% -6.95% -7.58% -0.94% 37.31% 22.13 2.46 细分机械 50 14,629 7,065 4003.55-5.30% 0.02% -6.97% -9.30% -1.49% 33.35% 33.18 2.35 有色金属 50 10,269 5,336 4021.07-5.40% -0.54% -6.98% -13.09% -5.20% 29.92% 59.37 2.65 高铁产业 25 7,693 3,354 2034.93-9.43% 0.41% -6.98% -11.25% -0.01% -- 20.12 1.84 基建工程 50 16,323 6,619 6071.49-1.66% 0.41% -6.99% -7.07% 21.89% -- 15.94 1.67 中小国改 98 13,475 6,338 1545.86-4.24% -0.44% -7.00% -9.80% 1.19% -- 24.36 1.92 新能源 50 12,206 5,866 1428.69-5.32% 0.11% -7.02% -9.32% -3.01% 18.06% 30.34 2.60 信息安全 98 12,377 7,318 1447.5-15.23% -0.19% -7.04% -13.84% -20.20% -- 43.94 3.40 CS 福建 27 7,719 4,457 1789.47-7.36% -0.33% -7.08% -10.96% -3.61% -- 11.29 1.31 有色产业 34 7,912 4,276 1746.06-5.67% -0.67% -7.13% -13.33% -2.59% 31.60% 61.76 2.55 CS 新能车 78 10,619 5,386 1978.59-8.32% 0.04% -7.30% -11.36% -16.11% -- 29.46 2.82 中证基建 58 15,967 6,358 9325-0.96% 0.42% -7.37% -8.30% 17.11% -- 20.74 1.77 沪投资品 50 19,700 7,641 3921.5-4.20% -0.17% -7.38% -10.69% 3.97% 34.44% 31.43 1.82 中证新能 80 15,829 7,762 1584.59-7.10% 0.04% -7.39% -10.14% -5.91% -- 32.30 2.71 中小医疗 78 5,600 3,129 12065.35-16.32% -0.47% -7.69% -14.84% -11.66% -- 38.38 3.17 细分农业 50 6,558 2,506 4662.59-18.05% -0.02% -7.78% -16.60% -14.90% 23.41% 19.33 2.93 沪智慧城 50 9,789 5,165 1948.69-11.35% 0.09% -7.79% -12.69% -11.09% 25.22% 25.10 2.75 细分有色 50 9,611 5,076 4499.58-6.18% -0.71% -7.98% -13.93% -0.50% 29.60% 64.13 2.65 CS 京津冀 43 10,374 4,451 2554.55 17.86% 0.20% -8.21% 11.23% 35.55% -- 23.63 2.10 中证高新 100 11,593 6,766 1533.4-15.46% -0.76% -8.23% -15.93% -17.29% -- 45.96 3.32 上证 TMT 50 9,099 4,937 1982.28-18.67% -0.08% -8.25% -18.19% -15.91% 54.08% 34.08 2.67 沪智家居 40 6,839 3,828 2614.05-14.44% -0.13% -8.26% -15.23% -14.73% -- 25.68 2.82 沪大农业 50 5,878 2,404 1240.32-13.74% 0.05% -8.51% -14.59% -1.90% -- 36.58 2.59 300 有色 11 4,275 2,206 3106.74-4.60% -0.34% -8.55% -13.16% 0.95% 31.43% 63.81 2.47 中证体育 31 2,509 1,340 2021.65-19.40% 0.03% -8.76% -18.61% -24.15% -- 40.69 2.88 18/25
上证高新 50 8,433 4,699 1375.99-13.60% -0.58% -8.83% -15.19% -15.83% 25.14% 36.21 3.08 沪智交通 19 2,739 1,554 1769.1-15.64% 0.09% -8.94% -16.24% -16.23% 46.53% 25.87 2.74 装备产业 93 20,759 10,255 1853.12-7.18% -0.01% -9.01% -11.48% -0.44% 34.05% 37.66 2.47 黄金采掘 9 2,058 1,064 1160.46-15.69% -0.24% -10.51% -16.41% -8.22% -- 47.86 2.99 军工信息 149 20,858 11,497 2316.01-17.65% -0.28% -10.82% -18.47% -18.82% -- 50.20 3.11 中证海洋 62 12,280 5,268 1421.31-12.70% -0.30% -11.17% -16.07% -4.54% -- 39.34 2.35 高端装备 60 13,560 6,534 7851.06-11.92% -0.02% -12.45% -16.50% -5.55% 51.86% 39.78 2.45 CS 西部 38 4,076 2,076 1425.24-7.27% 0.42% -12.95% -16.21% 2.60% -- 27.89 2.01 优势制造 50 12,509 5,827 6173.43-11.03% 0.00% -13.34% -15.99% -7.07% 22.91% 36.32 2.41 船舶产业 4 2,094 896 1678.94-14.22% 0.14% -14.15% -20.65% -0.29% 32.32% 98.58 2.02 中证军工 65 9,594 4,870 8973.03-16.24% -0.07% -14.49% -20.27% -14.10% 47.53% 67.79 3.08 军工指数 49 8,385 4,267 1195.8-16.42% -0.24% -15.14% -20.51% -15.68% 49.15% 70.96 3.03 上证军工 27 5,125 2,569 7267.42-16.29% 0.05% -17.39% -21.90% -12.66% 37.54% 76.99 2.73 中证国防 39 5,866 2,688 1295.62-19.74% -0.15% -18.10% -23.64% -17.77% 41.97% 62.59 3.19 表 4: 风格指数市场数据 指数收益 指数波动 指数绩效 指数 收盘点位 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 1 月波动率 1 年波动率 Sharpe Jensen Treynor 180 价值 3766.31 9.94% 0.43% 5.57% 4.70% 17.68% 84.39% 12.41% 10.69% 1.42 0.16 0.47 180 成长 2858.12 6.43% 0.20% 5.36% 3.13% 11.77% 60.37% 12.74% 11.35% 0.82 0.10 0.25 300 价值 4287.33 12.04% 0.48% 5.09% 6.07% 20.29% 91.02% 11.34% 11.02% 1.61 0.19 0.40 300 成长 3741.98 6.62% 0.28% 4.30% 3.69% 9.99% 56.82% 11.01% 11.58% 0.65 0.08 0.14 全指价值 3740.53 9.26% 0.36% 3.98% 4.06% 17.98% 87.14% 10.51% 10.66% 1.45 0.16 0.36 全指成长 3291.69 6.14% 0.24% 3.71% 2.47% 11.11% 60.67% 10.64% 10.83% 0.80 0.09 0.20 180R 价值 2856.75 7.10% 0.49% 3.02% 1.58% 14.56% 76.41% 10.29% 10.42% 1.16 0.13 0.29 19/25
800 价值 5041.38 9.34% 0.37% 2.94% 3.71% 17.88% 83.16% 10.25% 11.16% 1.38 0.16 0.27 180R 成长 1813.38 3.99% 0.25% 2.41% 0.74% 8.74% 45.13% 9.71% 11.95% 0.52 0.07 0.13 300R 价值 3665.05 8.40% 0.42% 2.39% 2.52% 15.61% 79.97% 9.84% 10.84% 1.21 0.14 0.23 800 成长 4193.53 4.26% 0.27% 2.08% 1.34% 6.55% 55.56% 10.01% 11.70% 0.35 0.05 0.06 全 R 价值 3394.87 4.51% 0.28% 0.79% -0.75% 12.60% 77.20% 9.34% 10.78% 0.94 0.11 0.17 800R 价值 4425.50 4.78% 0.27% 0.31% -0.43% 12.70% 74.23% 9.75% 11.36% 0.90 0.11 0.14 300R 成长 3048.19 1.35% 0.26% 0.26% -0.93% 2.92% 40.46% 10.04% 12.68% 0.03 0.02 0.01 全 R 成长 2602.77-0.52% 0.15% -0.84% -3.57% 3.51% 41.19% 9.81% 12.33% 0.08 0.02 0.01 800R 成长 3471.06-2.24% 0.10% -2.14% -4.34% -1.08% 42.27% 10.78% 13.42% -0.27-0.02-0.04 500 成长 6559.08-2.79% -0.26% -4.98% -5.11% -0.43% 57.06% 13.55% 14.84% -0.20-0.01-0.03 500 价值 8011.93-1.91% 0.11% -5.68% -6.74% 9.56% 78.67% 16.41% 15.01% 0.47 0.09 0.06 380 价值 7570.49-1.35% -0.04% -5.74% -6.22% 9.62% 89.83% 16.69% 14.60% 0.49 0.09 0.07 500R 成长 5375.80-7.57% -0.33% -6.11% -9.31% -5.45% 44.24% 15.46% 15.73% -0.51-0.06-0.07 500R 价值 6587.99-6.49% -0.10% -6.40% -10.22% 1.79% 61.26% 17.36% 15.85% -0.04 0.01-0.01 380R 价值 6232.99-4.68% -0.16% -6.53% -8.96% 4.93% 73.78% 16.61% 15.00% 0.16 0.04 0.02 380 成长 5240.34-5.80% -0.16% -6.75% -8.20% -1.27% 49.27% 15.60% 14.77% -0.26-0.02-0.03 380R 成长 4289.75-8.80% -0.26% -7.47% -10.90% -4.38% 40.63% 16.14% 15.43% -0.45-0.05-0.06 表 5: 红利指数市场数据 指数特征 指数收益 指数股息 指数 收盘点位 总市值 ( 亿 ) 调整市值 ( 亿 )1 年分红 ( 亿 ) 今年涨跌 1 周涨跌 1 月涨跌 3 月涨跌 1 年涨跌 3 年涨跌 样本平均股指数股息率 180 红利 3508.59 83,781 25,688 3,074 11.84% 0.65% 5.95% 6.16% 17.95% 76.22% 3.74% 3.67% 红利潜力 6602.04 58,137 19,708 1,218 22.10% 0.54% 5.46% 14.12% 34.57% 133.37% 2.18% 2.09% 上红潜力 4659.22 52,453 15,254 1,001 14.99% 0.49% 5.31% 10.51% 23.94% 81.19% 2.03% 1.91% 沪能源红 5504.26 22,468 1,604 271 11.50% 0.45% 5.14% 5.65% 21.43% 34.75% 1.21% 1.21% 20/25
高分红 4301.01 105,837 34,317 3,638 9.52% 0.31% 5.02% 4.14% 16.21% -- 3.50% 3.44% 沪金融红 5720.31 60,326 18,948 2,408 6.77% 0.44% 4.88% 1.63% 11.75% 75.71% 4.07% 3.99% 上国红利 1223.16 77,642 20,755 2,950 11.89% 0.46% 4.45% 5.03% 17.39% 65.86% 3.80% 3.80% 300 红利 5176.44 102,853 35,644 3,658 12.59% 0.49% 4.35% 5.89% 20.84% 94.54% 3.62% 3.56% 金融红利 7150.96 66,380 22,161 2,617 5.69% 0.59% 3.49% 1.07% 10.19% 94.52% 4.03% 3.94% 央企红利 2728.41 73,593 19,367 2,615 8.63% 0.39% 3.25% 2.97% 16.12% 65.73% 3.62% 3.55% 国企红利 1589.64 94,033 29,736 3,404 12.05% 0.33% 3.08% 4.97% 20.60% 86.99% 3.67% 3.62% 上央红利 1964.10 69,177 17,541 2,495 9.27% 0.27% 2.68% 2.92% 17.09% 73.85% 3.71% 3.61% 红利回报 5044.66 32,997 15,941 878 8.39% 0.34% 2.62% 4.67% 15.42% 95.74% 2.88% 2.66% 红利指数 2782.79 92,545 28,273 3,308 8.11% 0.36% 2.53% 2.12% 16.81% 71.87% 3.64% 3.57% 上红回报 4661.31 35,762 14,671 863 8.79% 0.11% 2.28% 4.89% 19.98% 89.60% 2.52% 2.41% 红利低波 8409.86 54,557 27,302 1,692 11.36% 0.22% 1.78% 5.42% 20.37% 85.15% 3.13% 3.10% 能源红利 4153.56 23,890 2,168 275 0.96% -0.58% 1.54% -4.27% 12.98% 32.65% 1.17% 1.15% 上红低波 7396.65 57,802 25,105 1,594 11.34% 0.25% 0.92% 4.67% 20.55% 87.19% 2.83% 2.76% 中证红利 4338.31 128,638 41,538 4,067 7.36% 0.16% 0.82% 1.47% 16.61% 96.76% 3.23% 3.16% 可选红利 13352.74 13,898 7,222 488 6.04% 0.61% 0.81% 2.25% 17.96% 138.33% 3.74% 3.51% 红利价值 7787.50 47,763 23,031 1,533 8.62% 0.36% 0.76% 3.05% 17.14% 87.78% 3.29% 3.21% 上红价值 6656.61 48,187 23,120 1,426 8.75% 0.45% 0.37% 2.76% 17.85% 84.49% 3.10% 2.96% 消费红利 19104.32 14,892 7,092 369 7.67% -0.33% -0.75% 1.84% 23.25% 98.21% 2.56% 2.48% 沪可选红 10905.20 8,610 3,445 306 3.72% 0.71% -0.94% -0.46% 9.38% 94.37% 3.91% 3.56% 沪公用红 3757.87 7,616 2,764 282 5.48% 0.21% -1.04% -0.96% 5.61% 48.68% 3.71% 3.71% 沪消费红 15426.53 8,443 4,213 169 11.80% -1.38% -1.30% 3.58% 22.09% 82.60% 2.00% 2.00% 沪工业红 7140.06 13,722 4,702 282 3.09% 0.67% -1.34% -1.35% 15.54% 89.28% 2.08% 2.05% 信息红利 17998.70 7,961 3,527 93 5.20% -0.57% -1.38% 2.02% 4.61% 120.34% 1.47% 1.16% 民企红利 3417.32 9,872 6,113 279-2.10% 0.10% -1.44% -4.45% 8.96% 126.80% 3.13% 2.81% 沪医药红 7715.04 2,098 1,161 26 3.41% 0.52% -1.55% 1.26% 14.44% 56.08% 1.24% 1.24% 工业红利 7853.62 13,988 4,994 304 3.52% 0.56% -1.57% -2.11% 16.37% 85.82% 2.22% 2.18% 电信红利 7875.20 4,045 2,018 33-10.58% 0.37% -1.66% -9.26% 5.69% 71.62% 0.96% 0.82% 沪电信红 9378.82 1,947 815 17-2.87% 0.11% -2.00% -1.43% 45.00% 72.42% 0.86% 0.86% 公用红利 3388.48 8,377 3,104 309 2.01% -0.34% -2.35% -3.00% 4.80% 54.18% 3.69% 3.69% 沪信息红 9468.17 2,457 1,172 34 0.83% 0.12% -2.51% 0.22% -0.42% 89.87% 1.56% 1.40% 医药红利 14349.40 5,824 3,024 72-0.13% 0.18% -2.55% -2.39% 7.07% 95.33% 1.40% 1.23% 21/25
380 红利 8107.86 5,982 2,186 204 0.59% -0.10% -3.95% -4.63% 6.44% 85.29% 3.63% 3.40% 上民红利 2381.92 8,641 4,996 240-3.99% 0.28% -3.97% -6.08% 7.73% 66.31% 3.05% 2.77% 沪材料红 4312.54 6,570 3,219 88-0.43% -0.31% -4.40% -8.79% 20.83% 69.54% 1.40% 1.35% 材料红利 5538.98 7,255 3,728 99-2.87% -0.05% -6.74% -10.45% 14.26% 101.49% 1.51% 1.36% 500 红利 8371.25 6,898 3,421 144-5.01% -0.30% -7.26% -9.06% 5.14% 70.01% 2.33% 2.07% 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 172.24 12.30% 0.42% 12.79% 20.33% -4.18% -- 32.59% 31.33% -0.21-0.11 0.03 50 两倍 1071.16 15.01% 0.58% 10.97% 7.91% 25.14% -- 25.09% 22.13% 1.02 0.24 0.35 100 稳定 3711.42 14.30% 0.22% 7.14% 8.41% 23.17% 98.33% 11.69% 9.92% 2.08 0.21 0.66 500 反向 1309.74 7.35% 0.24% 6.54% 10.58% 1.20% -- 16.30% 15.66% -0.08-0.03 0.01 金融等权 4781.73 6.77% 0.48% 6.23% 2.71% 8.68% 77.62% 15.18% 12.31% 0.50 0.07 0.24 180 动量 2587.12 11.16% 0.28% 6.14% 6.79% 16.51% -- 11.63% 10.12% 1.38 0.15 0.46 银河 99 6021.42 9.13% 0.52% 5.95% 4.44% 17.28% 91.74% 12.94% 11.37% 1.30 0.15 0.41 50 基本 2815.66 9.15% 0.48% 5.84% 4.85% 20.30% 86.90% 12.48% 11.31% 1.57 0.18 0.61 180 两倍 3273.04 9.66% 0.72% 5.13% 1.27% 18.84% -- 19.42% 21.64% 0.76 0.18 0.19 180 稳定 8702.93 10.27% 0.29% 5.12% 4.89% 17.55% 83.72% 11.23% 9.89% 1.52 0.16 0.49 光大阳光 5145.45 13.78% 0.24% 5.12% 7.79% 21.52% 84.47% 12.51% 11.66% 1.63 0.20 0.36 300 动量 3325.24 11.10% 0.19% 4.29% 6.33% 14.46% 42.33% 10.53% 10.68% 1.12 0.13 0.26 180 基本 10479.07 7.89% 0.47% 3.87% 2.68% 18.13% 93.95% 10.64% 10.97% 1.42 0.16 0.40 300 稳定 3809.57 10.95% 0.23% 3.74% 5.42% 19.42% 86.13% 10.21% 9.99% 1.69 0.18 0.35 300 日报酬两倍 2226.18 11.04% 0.72% 3.04% 2.15% 20.03% -- 18.97% 22.64% 0.77 0.20 0.14 财富大盘 4665.63 7.50% 0.40% 3.00% 2.59% 15.63% 95.33% 10.64% 10.74% 1.22 0.14 0.25 22/25
180 低贝 9642.11 9.32% 0.54% 2.95% 4.37% 17.04% 70.27% 9.37% 9.56% 1.52 0.15 0.46 50 等权 2381.60 5.24% 0.53% 2.71% 1.41% 12.83% 68.24% 9.90% 12.28% 0.84 0.11 0.26 300 波动 6697.84 12.15% 0.43% 2.64% 5.66% 22.61% 115.64% 8.94% 10.35% 1.94 0.21 0.40 300 两倍 1462.39 9.02% 0.66% 2.63% 1.02% 14.85% 79.37% 18.99% 22.64% 0.55 0.14 0.10 800 动量 3086.41 8.17% 0.15% 2.14% 3.71% 10.81% -- 9.54% 11.09% 0.75 0.09 0.14 中证龙头 3906.24 7.15% 0.52% 2.05% 2.72% 12.71% 67.48% 7.18% 11.22% 0.91 0.11 0.17 180 波动 12425.94 8.79% 0.63% 1.91% 2.71% 19.23% 99.22% 8.38% 10.72% 1.56 0.17 0.39 300 低贝 5360.33 9.84% 0.24% 1.81% 5.03% 16.67% 73.85% 8.74% 9.79% 1.45 0.15 0.31 富国多空 25239.17 12.03% 0.06% 1.57% 4.53% 26.92% 162.61% 11.98% 12.15% 2.01 0.26 0.34 安中动态 1017.17 7.83% 0.44% 1.52% 3.06% 17.88% 65.77% 8.14% 11.90% 1.29 0.16 0.25 100 动态 2737.02 2.50% 0.85% 0.68% -0.68% 2.98% 39.30% 11.55% 15.36% 0.03 0.02 0.01 等权 90 2849.10 4.40% 0.40% 0.65% 0.55% 8.80% 65.95% 10.19% 12.93% 0.49 0.08 0.08 小康指数 5316.40 5.68% 0.62% 0.52% -0.13% 23.39% 90.04% 8.01% 12.79% 1.63 0.22 0.39 180ERC 4298.69 3.41% 0.55% 0.17% -1.57% 10.99% -- 8.19% 11.27% 0.75 0.09 0.16 央视 500 1132.96 4.45% 0.17% 0.00% 0.26% 9.09% -32.11% 8.87% 11.72% 0.56 0.08 0.09 300SER 5039.23 5.15% 0.36% -0.04% 1.24% 15.59% -- 9.00% 11.88% 1.10 0.14 0.20 300ERC 4436.63 2.58% 0.35% -0.96% -1.73% 8.39% 63.93% 8.91% 11.98% 0.49 0.07 0.08 180 分层 9856.13 1.51% 0.47% -1.22% -3.21% 8.19% 54.51% 8.14% 11.84% 0.48 0.07 0.10 300 反向 2006.61-4.96% -0.34% -1.47% -0.99% -9.08% -47.95% 9.49% 11.32% -1.02-0.13 0.19 300 分层 4640.23 2.93% 0.28% -1.58% -1.38% 8.26% 60.93% 10.01% 12.52% 0.46 0.07 0.07 300 日报酬反向 1677.55-5.50% -0.36% -1.59% -1.33% -10.31% -- 9.49% 11.32% -1.13-0.14 0.21 180 等权 8573.40 0.01% 0.51% -1.85% -4.60% 6.70% 63.93% 8.78% 12.29% 0.34 0.05 0.06 180 动态 6679.76-2.95% 0.60% -2.15% -5.94% 1.23% 40.17% 10.01% 15.22% -0.08 0.00-0.02 300 等权 4024.33-0.05% 0.34% -2.41% -3.94% 4.12% 59.94% 10.21% 12.97% 0.12 0.03 0.02 300 动态 2913.79-4.04% 0.62% -2.66% -6.51% -4.66% 34.79% 11.98% 15.33% -0.47-0.06-0.08 180 反向 4772.51-5.21% -0.37% -2.66% -1.09% -10.47% -- 9.71% 10.82% -1.20-0.14 0.30 200 稳定 5503.22 3.73% 0.25% -3.01% -0.97% 11.53% 79.00% 11.22% 12.53% 0.72 0.10 0.11 可选等权 3137.27-4.21% 0.25% -3.05% -6.99% 0.50% 54.66% 10.39% 13.63% -0.15-0.01-0.02 创业成长 1337.07-1.05% 0.00% -3.11% -2.09% -3.14% 42.08% 12.62% 15.47% -0.36-0.04-0.05 300 反两 547.15-11.57% -0.74% -3.38% -3.22% -21.82% -81.24% 18.97% 22.64% -1.07-0.26 0.20 医药等权 7911.60-3.60% -0.15% -3.58% -4.87% 5.69% 51.20% 12.07% 13.52% 0.24 0.04 0.04 能源等权 2491.90-7.78% -0.34% -3.66% -12.16% 3.71% 17.42% 17.59% 18.60% 0.07 0.03 0.01 23/25
淘金 100 9290.98-4.07% -0.04% -3.68% -8.91% 12.49% -- 12.30% 15.53% 0.64 0.12 0.09 180 高贝 6555.68-2.77% 0.66% -3.74% -6.97% 5.44% 75.45% 11.89% 15.08% 0.19 0.04 0.04 CS 娱乐 2054.42-9.82% -0.38% -3.97% -10.90% -18.53% -- 13.48% 16.51% -1.27-0.19-0.19 380 低贝 5748.07-1.36% -0.32% -4.42% -4.61% 4.50% 90.60% 13.04% 13.17% 0.15 0.04 0.02 500 低贝 9808.36-3.16% -0.34% -4.71% -7.12% 6.86% 82.61% 13.59% 13.99% 0.31 0.06 0.04 800 等权 5738.03-4.97% 0.03% -4.91% -8.06% 0.59% 61.72% 14.04% 14.58% -0.13 0.00-0.02 300 高贝 2743.90-7.22% 0.50% -5.08% -10.35% -2.63% 52.00% 15.85% 16.38% -0.31-0.03-0.05 500 波动 11302.59-0.08% -0.32% -5.14% -5.73% 11.44% 103.96% 15.19% 14.32% 0.62 0.11 0.08 380 波动 9654.15-1.07% -0.29% -5.24% -5.90% 9.36% 109.37% 15.10% 13.96% 0.49 0.08 0.07 腾讯济安 2325.70-4.34% 0.24% -5.24% -8.27% 5.31% 100.89% 15.01% 15.08% 0.19 0.05 0.02 公用等权 2404.07-3.73% 0.05% -5.33% -6.49% -1.14% 42.62% 18.16% 13.68% -0.27-0.02-0.04 50 反向 1741.00-7.53% -0.30% -5.34% -4.26% -12.85% -- 12.54% 11.07% -1.39-0.16 0.48 CS 医药 10266.29-7.02% -0.39% -5.36% -7.75% 1.35% -- 14.15% 15.77% -0.07 0.01-0.01 消费等权 5318.83-5.23% -0.21% -5.48% -9.00% 2.38% 41.90% 14.07% 15.18% -0.01 0.02 0.00 500SER 7683.47-6.83% -0.19% -5.49% -9.60% 1.91% -- 15.63% 15.72% -0.04 0.01 0.00 电信等权 2802.56-9.96% 0.04% -5.53% -9.97% 12.98% 83.62% 13.29% 21.13% 0.50 0.12 0.11 180 反两 1323.86-12.02% -0.80% -5.71% -3.42% -24.12% -- 19.42% 21.66% -1.23-0.28 0.30 创业价值 1771.92-5.75% 0.27% -5.74% -9.61% 6.08% 84.60% 17.27% 15.63% 0.23 0.06 0.03 500ERC 7520.88-6.28% -0.20% -5.96% -9.42% 0.84% -- 16.12% 15.64% -0.11 0.00-0.01 500 稳定 8334.86-3.19% -0.18% -6.20% -7.74% 6.16% 72.27% 15.78% 14.97% 0.24 0.06 0.03 200 动态 2798.47-9.45% 0.15% -6.21% -11.68% -10.20% 14.59% 15.52% 15.75% -0.81-0.11-0.12 材料等权 2796.14-3.81% -0.29% -6.21% -10.24% 7.49% 47.53% 14.86% 15.95% 0.31 0.07 0.04 380 稳定 6248.53-3.00% -0.16% -6.27% -7.61% 5.52% 74.16% 15.17% 14.24% 0.21 0.05 0.03 500 动态 4105.72-10.77% -0.27% -6.27% -11.71% -9.64% 34.88% 17.30% 16.70% -0.73-0.10-0.09 500 等权 7099.06-7.87% -0.17% -6.44% -10.52% -1.54% 61.90% 17.14% 15.95% -0.25-0.02-0.03 380 动量 5016.52-3.44% -0.09% -6.69% -6.86% -1.28% -- 15.18% 15.07% -0.25-0.02-0.03 380 基本 6536.57-4.70% -0.13% -6.77% -9.35% 5.94% 78.88% 16.80% 15.18% 0.23 0.05 0.03 500 高贝 4422.54-12.16% -0.40% -6.94% -12.50% -11.91% 45.11% 20.49% 18.12% -0.80-0.12-0.10 380ERC 8601.03-6.97% -0.10% -7.06% -10.28% 0.24% -- 16.47% 15.42% -0.15 0.00-0.02 工业等权 2927.89-2.70% 0.40% -7.11% -8.96% 7.95% 81.01% 12.91% 16.11% 0.34 0.07 0.06 百发 100 11602.62-6.56% 0.08% -7.29% -11.99% -1.61% -- 21.34% 17.88% -0.23-0.02-0.03 380 等权 7120.07-8.66% -0.14% -7.44% -11.37% -1.33% 65.14% 17.16% 15.75% -0.24-0.02-0.03 24/25
信息等权 4232.62-15.81% -0.29% -7.80% -14.89% -18.47% 38.57% 19.14% 19.26% -1.09-0.19-0.17 沪财中小 9193.11-9.85% -0.29% -7.91% -12.75% -0.62% 69.99% 17.91% 16.10% -0.19-0.01-0.02 380 动态 4029.04-11.09% -0.23% -7.99% -12.83% -5.70% 39.74% 18.59% 16.47% -0.50-0.06-0.06 转型成长 27962.60-12.80% -0.13% -8.44% -14.89% -2.35% -- 18.34% 16.73% -0.29-0.03-0.04 380 高贝 5117.58-14.97% -0.40% -8.61% -16.84% -8.85% 39.71% 22.28% 18.72% -0.61-0.09-0.07 50 反两 483.60-16.32% -0.66% -10.89% -9.55% -28.16% -- 25.07% 22.15% -1.38-0.32 0.48 500 两倍 3380.63-15.76% -0.50% -12.66% -19.81% -10.35% -- 32.61% 31.34% -0.41-0.09-0.05 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 3901.49 11.07% 0.44% 5.09% 5.64% 22.96% 116.76% 11.15% 11.00% 1.86 0.21 0.55 基本 200 4378.73 8.62% 0.39% 2.63% 2.58% 19.53% 105.67% 9.89% 11.17% 1.52 0.18 0.31 上证 F200 4293.74 7.44% 0.40% 2.63% 1.88% 18.01% 102.16% 9.84% 11.08% 1.40 0.16 0.32 基本 300 5228.45 7.62% 0.48% 1.84% 2.22% 18.81% -- 9.43% 11.27% 1.45 0.17 0.28 上证 F500 4797.75 5.41% 0.34% 1.44% 0.08% 15.90% 96.14% 9.39% 11.08% 1.21 0.14 0.23 基本 600 4961.28 5.97% 0.33% 1.00% 0.33% 16.50% 98.03% 9.59% 11.34% 1.23 0.15 0.21 基本 400 6404.22-4.65% 0.06% -5.82% -8.77% 4.59% 65.94% 15.62% 15.04% 0.14 0.04 0.02 上证 F300 6911.80-7.89% -0.09% -6.79% -11.82% 2.06% 56.75% 16.40% 15.37% -0.03 0.02 0.00 基本 500 7164.33-9.21% 0.00% -7.08% -11.29% -2.73% -- 16.89% 16.01% -0.33-0.03-0.04 25/25
定期分析报告 免责声明 本报告所载数据资料, 源自中证指数有限公司认为可靠之出处, 但不保证其准确性或完整性 本报告及其所含任何信息均不构成任何证券 金融产品或其他投资工具或任何交易策略的依据或建议 对任何因直接或间接使用本报告或其所含任何信息而造成的损失, 中证指数有限公司不承担任何法律责任 中证指数有限公司中国上海市浦东新区锦康路 308 号陆家嘴世纪金融广场 6 号楼 13 层邮编 : 200127 电话 : 0086 21 5018 5500 传真 : 0086 21 5018 6368 电邮 : csindex@sse.com.cn 网站 : www.csindex.com.cn