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	-0.062	0.015	-0.022
Beta 值	-0.1	0.03	-0.03
总回报率	0.23% VS 3.21%	0.23% VS 2.4%	0.23% VS 2.56%
波动率	0.89% VS 0.57%	0.89% VS 0.48%	0.89% VS 0.78%
趋势相似性	7.81%	9.17%	9.79%
跑赢天数占比	8天 (42.11%)	9天 (47.37%)	8天 (42.11%)
最大回撤	6.17% VS 2.16%	6.17% VS 1.77%	6.17% VS 3.25%

最近40天

指标	沪深300	上证50	深证50
相关性	0.005	0.1	-0.037
Beta 值	0.01	0.14	-0.04
总回报率	3.73% VS 4.54%	3.73% VS 3.73%	3.73% VS 4.16%
波动率	0.79% VS 0.59%	0.79% VS 0.55%	0.79% VS 0.79%
趋势相似性	8.71%	10.35%	9.95%
跑赢天数占比	19天 (48.72%)	21天 (53.85%)	20天 (51.28%)
最大回撤	6.17% VS 3.37%	6.17% VS 3.96%	6.17% VS 5%

最近半年

指标	沪深300	上证50	深证50
相关性	0.195	0.325	0.09
Beta 值	0.21	0.4	0.08
总回报率	0.84% VS 0.03%	0.84% VS 2.15%	0.84% VS -3.53%
波动率	1.1% VS 1.01%	1.1% VS 0.9%	1.1% VS 1.29%
趋势相似性	8.78%	11.37%	9.54%
跑赢天数占比	61天 (51.26%)	62天 (52.1%)	64天 (53.78%)
最大回撤	12.48% VS 12.7%	12.48% VS 10.9%	12.48% VS 16.62%

最近一年

指标	沪深300	上证50	深证50
相关性	0.295	0.41	0.181
Beta 值	0.28	0.44	0.13
总回报率	17.95% VS 13.41%	17.95% VS 14.34%	17.95% VS 13.1%
波动率	1.28% VS 1.36%	1.28% VS 1.19%	1.28% VS 1.75%
趋势相似性	10%	12.33%	9.21%
跑赢天数占比	128天 (51%)	127天 (50.6%)	132天 (52.59%)
最大回撤	15.55% VS 21.04%	15.55% VS 18.56%	15.55% VS 26.32%
夏普比率	0.89 VS 0.62	0.89 VS 0.76	0.89 VS 0.47

最近两年

指标	沪深300	上证50	深证50
相关性	0.206	0.282	0.112
Beta 值	0.24	0.36	0.09
总回报率	33.71% VS 6.11%	33.71% VS 9.81%	18.53% VS 11.27%
波动率	1.35% VS 1.15%	1.35% VS 1.04%	1.3% VS 1.55%
趋势相似性	10.62%	11.8%	9.61%
跑赢天数占比	263天 (52.29%)	255天 (50.7%)	220天 (53.79%)
最大回撤	16.08% VS 23.52%	16.08% VS 19.88%	15.55% VS 26.32%
夏普比率	0.79 VS 0.17	0.79 VS 0.3	0.55 VS 0.28