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	-0.323	-0.107	-0.396
Beta 值	-0.48	-0.17	-0.35
总回报率	-2.23% VS 4.78%	-2.4% VS 3.13%	-2.23% VS 7.11%
波动率	0.63% VS 0.42%	0.61% VS 0.38%	0.63% VS 0.7%
趋势相似性	6.49%	7.84%	6.14%
跑赢天数占比	6天 (33.33%)	6天 (31.58%)	5天 (27.78%)
最大回撤	4.75% VS 1.77%	5.02% VS 2.7%	4.75% VS 2.1%

最近40天

指标	沪深300	上证50	深证50
相关性	-0.048	0.098	-0.08
Beta 值	-0.07	0.15	-0.08
总回报率	-5.21% VS 6.73%	-5.38% VS 4.33%	-5.21% VS 8.67%
波动率	0.73% VS 0.51%	0.72% VS 0.47%	0.73% VS 0.74%
趋势相似性	8.35%	9.17%	9.26%
跑赢天数占比	13天 (34.21%)	16天 (41.03%)	13天 (34.21%)
最大回撤	8.06% VS 2.16%	8.32% VS 2.7%	8.06% VS 3.25%

最近半年

指标	沪深300	上证50	深证50
相关性	0.15	0.276	0.066
Beta 值	0.16	0.33	0.05
总回报率	3.52% VS 9.12%	3.36% VS 9.61%	3.52% VS 8.55%
波动率	0.99% VS 0.93%	0.98% VS 0.83%	0.99% VS 1.21%
趋势相似性	8.96%	10.57%	9.89%
跑赢天数占比	55天 (46.61%)	58天 (48.74%)	58天 (49.15%)
最大回撤	9.91% VS 12.7%	9.91% VS 10.9%	9.91% VS 16.62%

最近一年

指标	沪深300	上证50	深证50
相关性	0.307	0.42	0.195
Beta 值	0.28	0.44	0.14
总回报率	5.17% VS 19.05%	5.01% VS 16.48%	5.17% VS 22.13%
波动率	1.25% VS 1.36%	1.25% VS 1.19%	1.25% VS 1.75%
趋势相似性	10.21%	12.33%	9.43%
跑赢天数占比	120天 (48%)	122天 (48.61%)	124天 (49.6%)
最大回撤	15.55% VS 21.04%	15.55% VS 18.56%	15.55% VS 26.32%
夏普比率	0.26 VS 0.89	0.25 VS 0.87	0.26 VS 0.8

最近两年

指标	沪深300	上证50	深证50
相关性	0.204	0.286	0.105
Beta 值	0.23	0.36	0.09
总回报率	27.13% VS 9.31%	26.97% VS 12.91%	15.5% VS 17.92%
波动率	1.29% VS 1.14%	1.29% VS 1.03%	1.27% VS 1.52%
趋势相似性	10.5%	11.71%	9.49%
跑赢天数占比	258天 (51.39%)	254天 (50.5%)	227天 (52.55%)
最大回撤	16.08% VS 23.52%	16.08% VS 19.88%	15.55% VS 26.32%
夏普比率	0.66 VS 0.26	0.66 VS 0.4	0.45 VS 0.43