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	-0.07	-0.033	-0.048
Beta 值	-0.14	-0.07	-0.07
总回报率	0.26% VS -0.36%	0.26% VS -1.79%	0.26% VS -0.81%
波动率	0.89% VS 0.45%	0.89% VS 0.41%	0.89% VS 0.64%
趋势相似性	8.85%	6.7%	11.72%
跑赢天数占比	10天 (52.63%)	10天 (52.63%)	11天 (57.89%)
最大回撤	6% VS 2.6%	6% VS 2.66%	6% VS 3.81%

最近40天

指标	沪深300	上证50	深证50
相关性	0.023	0.256	-0.186
Beta 值	0.04	0.47	-0.25
总回报率	3.24% VS 3.53%	3.24% VS 2.42%	3.24% VS 3.8%
波动率	0.91% VS 0.49%	0.91% VS 0.49%	0.91% VS 0.69%
趋势相似性	7.76%	9.22%	10.92%
跑赢天数占比	21天 (53.85%)	21天 (53.85%)	21天 (53.85%)
最大回撤	6% VS 3.31%	6% VS 3.51%	6% VS 4.22%

最近半年

指标	沪深300	上证50	深证50
相关性	0.182	0.325	0.064
Beta 值	0.21	0.42	0.06
总回报率	7.44% VS -1.81%	7.44% VS 1.07%	7.44% VS -5.56%
波动率	1.19% VS 1.03%	1.19% VS 0.93%	1.19% VS 1.31%
趋势相似性	9.14%	11.73%	9.75%
跑赢天数占比	62天 (52.1%)	63天 (52.94%)	64天 (53.78%)
最大回撤	12.48% VS 12.84%	12.48% VS 10.9%	12.48% VS 16.66%

最近一年

指标	沪深300	上证50	深证50
相关性	0.298	0.413	0.184
Beta 值	0.28	0.44	0.13
总回报率	19.69% VS 9.73%	19.69% VS 9.43%	19.69% VS 9.84%
波动率	1.28% VS 1.36%	1.28% VS 1.2%	1.28% VS 1.75%
趋势相似性	10.14%	12.28%	9.61%
跑赢天数占比	131天 (52.19%)	129天 (51.39%)	136天 (54.18%)
最大回撤	15.55% VS 21.04%	15.55% VS 18.56%	15.55% VS 26.32%
夏普比率	0.97 VS 0.45	0.97 VS 0.5	0.97 VS 0.36

最近两年

指标	沪深300	上证50	深证50
相关性	0.214	0.289	0.112
Beta 值	0.26	0.38	0.09
总回报率	29.58% VS 0.61%	29.58% VS 3.27%	17.47% VS 9.75%
波动率	1.37% VS 1.15%	1.37% VS 1.04%	1.31% VS 1.56%
趋势相似性	10.7%	11.83%	9.65%
跑赢天数占比	264天 (52.49%)	256天 (50.89%)	216天 (54%)
最大回撤	16.08% VS 23.52%	16.08% VS 19.88%	15.55% VS 26.32%
夏普比率	0.68 VS 0.02	0.68 VS 0.1	0.53 VS 0.25