中国移动与指数相关性分析

最近20天

指标	沪深300	上证50	深证50
相关性	-0.124	0.444	-0.597
Beta 值	-0.31	1.18	-0.97
总回报率	1.72% VS 5.41%	1.72% VS 4.02%	1.72% VS 7.12%
波动率	1.06% VS 0.42%	1.06% VS 0.4%	1.06% VS 0.66%
趋势相似性	8.7%	13.23%	10.36%
跑赢天数占比	10天 (52.63%)	11天 (57.89%)	10天 (52.63%)
最大回撤	4.18% VS 2.7%	4.18% VS 2.14%	4.18% VS 3.38%

最近40天

指标	沪深300	上证50	深证50
相关性	0.129	0.286	-0.011
Beta 值	0.1	0.25	-0.01
总回报率	6.36% VS -1.6%	6.36% VS 0.67%	6.36% VS -3.37%
波动率	1.01% VS 1.32%	1.01% VS 1.16%	1.01% VS 1.68%
趋势相似性	8.58%	11.56%	9.97%
跑赢天数占比	22天 (56.41%)	23天 (58.97%)	23天 (58.97%)
最大回撤	4.35% VS 12.7%	4.35% VS 10.9%	4.35% VS 15.64%

最近半年

指标	沪深300	上证50	深证50
相关性	0.187	0.336	0.066
Beta 值	0.21	0.42	0.06
总回报率	10.69% VS -6.58%	10.69% VS -3.73%	10.69% VS -9.96%
波动率	1.25% VS 1.11%	1.25% VS 0.99%	1.25% VS 1.42%
趋势相似性	9.82%	13.58%	8.91%
跑赢天数占比	62天 (52.1%)	63天 (52.94%)	63天 (52.94%)
最大回撤	12.48% VS 16.35%	12.48% VS 13.27%	12.48% VS 21.31%

最近一年

指标	沪深300	上证50	深证50
相关性	0.29	0.404	0.172
Beta 值	0.27	0.43	0.13
总回报率	13.17% VS 11.07%	13.17% VS 11.8%	13.17% VS 11.02%
波动率	1.29% VS 1.37%	1.29% VS 1.2%	1.29% VS 1.76%
趋势相似性	10.14%	12.48%	9.32%
跑赢天数占比	129天 (51.39%)	126天 (50.2%)	134天 (53.39%)
最大回撤	15.55% VS 21.04%	15.55% VS 18.56%	15.55% VS 26.32%
夏普比率	0.65 VS 0.51	0.65 VS 0.62	0.65 VS 0.39

最近两年

指标	沪深300	上证50	深证50
相关性	0.239	0.312	0.115
Beta 值	0.31	0.44	0.1
总回报率	29.75% VS -2.77%	29.75% VS 3.3%	17.01% VS 9.59%
波动率	1.49% VS 1.16%	1.49% VS 1.06%	1.33% VS 1.6%
趋势相似性	10.87%	12.02%	9.53%
跑赢天数占比	266天 (52.88%)	258天 (51.29%)	203天 (53.99%)
最大回撤	20.29% VS 25.45%	20.29% VS 21.42%	15.55% VS 26.32%
夏普比率	0.63 VS -0.08	0.63 VS 0.1	0.54 VS 0.25