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	0.164	0.366	0.012
Beta 值	0.11	0.31	0.01
总回报率	4.33% VS -3.03%	4.33% VS -0.97%	4.33% VS -5.55%
波动率	1.2% VS 1.72%	1.2% VS 1.41%	1.2% VS 2.18%
趋势相似性	6.7%	10.84%	11.73%
跑赢天数占比	12天 (63.16%)	12天 (63.16%)	13天 (68.42%)
最大回撤	4.35% VS 10.55%	4.35% VS 8.74%	4.35% VS 13.29%

最近40天

指标	沪深300	上证50	深证50
相关性	0.123	0.275	-0.011
Beta 值	0.1	0.24	-0.01
总回报率	3.91% VS -2.33%	3.91% VS 0.65%	3.91% VS -5.68%
波动率	1.04% VS 1.33%	1.04% VS 1.19%	1.04% VS 1.67%
趋势相似性	7.5%	10.52%	9.43%
跑赢天数占比	22天 (56.41%)	22天 (56.41%)	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	0.18	0.323	0.069
Beta 值	0.19	0.38	0.06
总回报率	9.14% VS -1.84%	9.14% VS 1.2%	9.14% VS -6.3%
波动率	1.24% VS 1.17%	1.24% VS 1.05%	1.24% VS 1.48%
趋势相似性	9.7%	13.46%	8.86%
跑赢天数占比	61天 (51.26%)	62天 (52.1%)	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	0.298	0.41	0.183
Beta 值	0.28	0.44	0.14
总回报率	15.94% VS 10.95%	15.94% VS 12.79%	15.94% VS 10.13%
波动率	1.31% VS 1.38%	1.31% VS 1.21%	1.31% VS 1.77%
趋势相似性	10.18%	12.38%	9.43%
跑赢天数占比	129天 (51.39%)	125天 (49.8%)	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	0.77 VS 0.5	0.77 VS 0.67	0.77 VS 0.36

最近两年

指标	沪深300	上证50	深证50
相关性	0.236	0.302	0.116
Beta 值	0.31	0.43	0.1
总回报率	37.23% VS -2.09%	37.23% VS 3.19%	14.8% VS 7.11%
波动率	1.53% VS 1.16%	1.53% VS 1.06%	1.34% VS 1.61%
趋势相似性	10.86%	11.86%	9.57%
跑赢天数占比	268天 (53.28%)	259天 (51.49%)	200天 (54.05%)
最大回撤	20.29% VS 25.45%	20.29% VS 21.42%	15.55% VS 26.32%
夏普比率	0.77 VS -0.06	0.77 VS 0.09	0.47 VS 0.19