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Basic Index
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Index Series
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Rebalance Frequency
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Weighting Scheme
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Risk Adjustment
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Date
Introduction
Index Performance
Monthly Performance
| 1Y | 3Y | 5Y | 10Y | 全样本 | |
|---|---|---|---|---|---|
| Annualized Return(%) | 11.0566214731807 | 2.15428250802596 | 9.79087048392733 | 4.62534548399698 | 10.8445180860077 |
| Annualized Volatility(%) | 17.2678635919 | 19.2992520795161 | 28.6818350711851 | 25.4468426905088 | 30.1970857413996 |
| Annualized Sharpe | 0.524478400294349 | 0.00799422212789868 | 0.271630823641209 | 0.103169792650787 | 0.292893101067764 |
| Max Drawdown(%) | 11.4377547370166 | 33.896710104049 | 43.5872740590398 | 44.8810562407398 | 70.8645798973826 |
| MMD_Start | 2019-04-04 00:00:00 | 2018-02-05 00:00:00 | 2015-06-12 00:00:00 | 2010-11-11 00:00:00 | 2008-01-15 00:00:00 |
| MMD_End | 2019-11-15 00:00:00 | 2019-01-03 00:00:00 | 2015-09-15 00:00:00 | 2012-11-29 00:00:00 | 2008-11-04 00:00:00 |
指标计算说明:
（1）基于以人民币计价的日度收益率。 （2）计算于2019年9月1日且月度更新数据。
（3）期限超过一年的指标做年化处理。
Historical Performance
| 3Y | 5Y | 10Y | 全样本 | |
|---|---|---|---|---|
| AverageRet(%) | 0.364398784064234 | 1.24453281411036 | 0.694071980233088 | 1.23804714158666 |
| T | 0.388401367305756 | 1.20210159609144 | 1.08612482354516 | 1.47085731284668 |
| Alpha(%) | -0.503130545326938 | 0.07703340007300161 | -0.105208406256087 | -0.261755635721852 |
| T | -0.898458338668195 | 0.150002032154923 | -0.331179214589383 | -0.933510779119029 |
| CAPM_beta | 0.986901954819737 | 0.941159793185677 | 1.01058131504362 | 0.9894111528863641 |
| T | 7.31846651838903 | 9.879245102918089 | 14.5453813384785 | 28.0700744566608 |
指标计算说明:
（1）市场因子计算说明。 （2）统计量计算说明。
（3）样本区间说明。
| 3Y | 5Y | 10Y | 全样本 | |
|---|---|---|---|---|
| AverageRet(%) | 0.364398784064234 | 1.24453281411036 | 0.694071980233088 | 1.23804714158666 |
| T | 0.388401367305756 | 1.20210159609144 | 1.08612482354516 | 1.47085731284668 |
| Alpha(%) | -0.503130545326938 | 0.07703340007300161 | -0.105208406256087 | -0.261755635721852 |
| T | -0.898458338668195 | 0.150002032154923 | -0.331179214589383 | -0.933510779119029 |
| MKT_beta | 0.986901954819737 | 0.941159793185677 | 1.01058131504362 | 0.9894111528863641 |
| T | 7.31846651838903 | 9.879245102918089 | 14.5453813384785 | 28.0700744566608 |
| SMB_beta | -0.313014366700388 | 0.295799956442221 | 0.202939490654345 | 0.408145833932257 |
| T | -0.989199730678331 | 2.52011152834976 | 2.29109887758421 | 5.61193220174807 |
| VMG_beta | 0.34409728261793 | 0.315801588873061 | 0.234334544193864 | 0.283364981719846 |
| T | 1.60766064213552 | 1.68755043071571 | 1.67067678582349 | 2.50864760602677 |
指标计算说明:
（1）市场因子计算说明。 （2）统计量计算说明。
（3）样本区间说明。
Sector Alloction
Top Holdings
| Rank | Stock Code | Stock Name | Weight（%） |
|---|---|---|---|
| 1 | 1 | ||
| 2 | 002714.SZ | 牧原股份 | 11.6778978420017 |
| 3 | 601012.SH | 隆基股份 | 10.6575916548639 |
| 4 | 600570.SH | 恒生电子 | 6.76849034893825 |
| 5 | 002463.SZ | 沪电股份 | 4.43759761533909 |
| 6 | 600025.SH | 华能水电 | 4.38188226774269 |
| 7 | 300383.SZ | 光环新网 | 3.42838578606634 |
| 8 | 600801.SH | 华新水泥 | 3.34972943667114 |
| 9 | 600489.SH | 中金黄金 | 3.22319014990048 |
| 10 | 300558.SZ | 贝达药业 | 3.10598833224802 |
| 11 | 600871.SH | 石化油服 | 3.06071209024766 |
