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	0.173	0.378	0.016
Beta 值	0.12	0.32	0.01
总回报率	4.61% VS -2.46%	4.61% VS -0.35%	4.61% VS -5.23%
波动率	1.21% VS 1.71%	1.21% VS 1.4%	1.21% VS 2.18%
趋势相似性	6.7%	11.05%	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 10.02%	4.35% VS 8.12%	4.35% VS 12.54%

最近40天

指标	沪深300	上证50	深证50
相关性	0.121	0.269	-0.015
Beta 值	0.09	0.24	-0.01
总回报率	5.74% VS -2.43%	5.74% VS 1.14%	5.74% VS -5.95%
波动率	1.04% VS 1.33%	1.04% VS 1.18%	1.04% VS 1.67%
趋势相似性	7.42%	9.83%	9.15%
跑赢天数占比	23天 (58.97%)	23天 (58.97%)	24天 (61.54%)
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	0.179	0.322	0.067
Beta 值	0.19	0.38	0.06
总回报率	9.86% VS -2.03%	9.86% VS 1.35%	9.86% VS -6.58%
波动率	1.24% VS 1.17%	1.24% VS 1.05%	1.24% VS 1.48%
趋势相似性	9.66%	13.49%	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	0.286	0.399	0.17
Beta 值	0.27	0.43	0.12
总回报率	13.37% VS 8.7%	13.37% VS 10.77%	13.37% VS 7.27%
波动率	1.29% VS 1.37%	1.29% VS 1.2%	1.29% VS 1.76%
趋势相似性	10.07%	12.28%	9.3%
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	0.66 VS 0.4	0.66 VS 0.57	0.66 VS 0.26

最近两年

指标	沪深300	上证50	深证50
相关性	0.236	0.302	0.115
Beta 值	0.31	0.43	0.1
总回报率	38.03% VS -2.4%	38.03% VS 3.38%	15.98% VS 6.7%
波动率	1.53% VS 1.16%	1.53% VS 1.06%	1.34% VS 1.61%
趋势相似性	10.82%	11.87%	9.54%
跑赢天数占比	268天 (53.28%)	259天 (51.49%)	201天 (54.18%)
最大回撤	20.29% VS 25.45%	20.29% VS 21.42%	15.55% VS 26.32%
夏普比率	0.79 VS -0.07	0.79 VS 0.1	0.51 VS 0.18