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1、600031600131600231600331600531 沪深300期望收益率3.74%1.22%1.28%2.54%2.28%9.26%标准差16.38%13.73%14.41%17.09%15.69%12.29%600031与300600131与300600231与300600331与300600531与300相关系数=0.74430.74500.72470.76790.7503贝塔系数0.99200.83230.84971.06770.9578组合的期望收益相关系数600031600131600231600331600531600031 1.00000.46500.57780.519
2、30.52036001311.00000.65290.64330.66726002311.00000.46820.55736003311.00000.70916005311.0000协方差600031600131600231600331600531 权重600031 0.02680.01050.01360.01450.01340.304689600131 0.01050.01890.01290.01510.01440.324308600231 0.01360.01290.02080.01150.01260.183677600331 0.01450.01510.01150.02920.01900
3、.056144600531 0.01340.01440.01260.01900.02460.1311821期望收益率2.21%2.21%标准差0.12364600031交交易易日日期期收收盘盘价价收益率(实际-期望）2 期望收益率=3.74%2003/07/310.572003/08/290.56-1.75%0.30%方差=2.68%2003/09/300.560.00%0.14%标准差=16.38%2003/10/310.571.79%0.04%2003/11/280.54-5.26%0.81%2003/12/310.587.41%0.13%2004/01/300.6410.34%0.44%
4、2004/02/270.663.13%0.00%2004/03/310.683.03%0.01%2004/04/300.66-2.94%0.45%2004/05/310.61-7.58%1.28%2004/06/300.54-11.48%2.32%2004/07/300.45-16.67%4.16%2004/08/310.450.00%0.14%2004/09/300.511.11%0.54%2004/10/290.46-8.00%1.38%2004/11/300.45-2.17%0.35%2004/12/310.41-8.89%1.60%2005/01/310.37-9.76%1.82%20
5、05/02/280.4418.92%2.30%2005/03/310.37-15.91%3.86%2005/04/290.48.11%0.19%2005/05/310.4615.00%1.27%2005/06/300.5213.04%0.87%2005/07/290.51-1.92%0.32%2005/08/310.46-9.80%1.83%2005/09/300.42-8.70%1.55%2005/10/310.39-7.14%1.18%2005/11/300.42.56%0.01%2005/12/300.4512.50%0.77%2006/01/250.43-4.44%0.67%2006/
6、02/280.41-4.65%0.70%2006/03/310.4919.51%2.49%2006/04/280.5818.37%2.14%2006/05/310.7427.59%5.69%2006/06/300.9731.08%7.47%2006/07/310.78-19.59%5.44%2006/08/310.858.97%0.27%2006/09/291.129.41%6.59%2006/10/311.2917.27%1.83%2006/11/281.4310.85%0.51%2006/12/292.1751.75%23.05%2007/01/312.4311.98%0.68%2007/
7、02/282.33-4.12%0.62%2007/03/302.7417.60%1.92%2007/04/304.1852.55%23.83%2007/05/314.814.83%1.23%2007/06/295.9824.58%4.34%2007/07/316.163.01%0.01%2007/08/317.0614.61%1.18%2007/09/286.9-2.27%0.36%2007/10/318.6425.22%4.61%2007/11/305.94-31.25%12.24%2007/12/287.7129.80%6.79%2008/01/317.15-7.26%1.21%2008/
8、02/297.464.34%0.00%2008/03/315.25-29.62%11.13%2008/04/305.16-1.71%0.30%2008/05/305.14-0.39%0.17%2008/06/303.76-26.85%9.36%2008/07/314.2412.77%0.81%2008/08/293.12-26.42%9.09%2008/09/243.35.77%0.04%2008/10/312.27-31.21%12.22%2008/11/283.3145.81%17.70%2008/12/312.85-13.90%3.11%2009/01/233.9839.65%12.89
9、%2009/02/274.164.52%0.01%2009/03/314.7714.66%1.19%2009/04/305.311.11%0.54%2009/05/275.15-2.83%0.43%2009/06/305.8814.17%1.09%2009/07/316.815.65%1.42%2009/08/315.83-14.26%3.24%2009/09/306.7816.30%1.58%2009/10/307.368.55%0.23%2009/11/307.410.68%0.09%2009/12/317.521.48%0.05%2010/01/296.3-16.22%3.99%2010
10、/02/266.686.03%0.05%2010/03/316.933.74%0.00%2010/04/305.7-17.75%4.62%2010/05/315.54-2.81%0.43%2010/06/305.631.62%0.04%2010/07/307.0825.75%4.85%2010/08/318.4719.63%2.53%2010/09/309.026.49%0.08%2010/10/2913.7452.33%23.61%2010/11/3014.052.26%0.02%2010/12/3114.04-0.07%0.15%2011/01/3114.493.21%0.00%2011/
11、02/2816.3612.91%0.84%2011/03/3118.1210.76%0.49%2011/04/2917.89-1.27%0.25%2011/05/3116.39-8.38%1.47%2011/06/3017.67.38%0.13%2011/07/2916.67-5.28%0.81%2011/08/3115.76-5.46%0.85%2011/09/3014.06-10.79%2.11%2011/10/3114.654.20%0.00%2011/11/3012.09-17.47%4.50%2011/12/3012.231.16%0.07%2012/01/3113.8613.33%
12、0.92%2012/02/2914.232.67%0.01%2012/03/3011.97-15.88%3.85%2012/04/2713.7915.20%1.31%2012/05/3114.585.73%0.04%2012/06/2913.58-6.86%1.12%2012/07/3111.62-14.43%3.30%2012/08/319.87-15.06%3.53%2012/09/289.6-2.74%0.42%2012/10/318.98-6.46%1.04%2012/11/238.88-1.11%0.24%数数据据来来源源:上上海海财财汇汇信信息息技技术术有有限限公公司司交交易易日日
13、期期收收盘盘价价收益率(实际-期望）2期望收益率=1.22%1998/04/302.891998/05/292.910.69%0.003%方差=1.89%1998/06/302.910.00%0.01%标准差=13.73%1998/07/312.76-5.15%0.41%1998/08/312.42-12.32%1.83%1998/09/302.565.79%0.21%1998/10/302.622.34%0.01%1998/11/302.52-3.82%0.25%1998/12/312.21-12.30%1.83%1999/01/292.11-4.52%0.33%1999/02/092.01
14、-4.74%0.36%1999/03/312.5225.37%5.83%1999/04/302.22-11.90%1.72%1999/05/312.387.21%0.36%1999/06/283.651.26%25.04%1999/07/303.918.61%0.55%1999/08/314.115.12%0.15%1999/09/303.85-6.33%0.57%1999/10/293.59-6.75%0.64%1999/11/303.45-3.90%0.26%1999/12/303.12-9.57%1.16%2000/01/283.150.96%0.00%2000/02/293.7117.
15、78%2.74%2000/03/314.1411.59%1.08%2000/04/284.180.97%0.00%2000/05/314.07-2.63%0.15%2000/06/304.121.23%0.00%2000/07/314.478.50%0.53%2000/08/314.46-0.22%0.02%2000/09/294.07-8.74%0.99%2000/10/314.449.09%0.62%2000/11/304.624.05%0.08%2000/12/294.732.38%0.01%2001/01/194.821.90%0.00%2001/02/284.51-6.43%0.59
16、%2001/03/304.837.10%0.35%2001/04/305.217.87%0.44%2001/05/315.240.58%0.00%2001/06/295.617.06%0.34%2001/07/314.86-13.37%2.13%2001/08/314.880.41%0.01%2001/09/284.13-15.37%2.75%2001/10/313.86-6.54%0.60%2001/11/304.7823.83%5.11%2001/12/313.99-16.53%3.15%2002/01/313.61-9.52%1.15%2002/02/283.98.03%0.46%200
17、2/03/294.617.95%2.80%2002/04/305.3917.17%2.54%2002/05/314.75-11.87%1.71%2002/06/285.3512.63%1.30%2002/07/315.01-6.36%0.57%2002/08/305-0.20%0.02%2002/09/274.42-11.60%1.64%2002/10/314.35-1.58%0.08%2002/11/293.78-13.10%2.05%2002/12/313.61-4.50%0.33%2003/01/293.887.48%0.39%2003/02/283.992.84%0.03%2003/0
18、3/314.133.51%0.05%2003/04/304.6111.62%1.08%2003/05/304.865.42%0.18%2003/06/304.06-16.46%3.13%2003/07/313.65-10.10%1.28%2003/08/293.711.64%0.00%2003/09/303.38-8.89%1.02%2003/10/313.33-1.48%0.07%2003/11/283.8515.62%2.07%2003/12/314.024.42%0.10%2004/01/304-0.50%0.03%2004/02/274.287.00%0.33%2004/03/314.
19、372.10%0.01%2004/04/303.86-11.67%1.66%2004/05/314.075.44%0.18%2004/06/303.43-15.72%2.87%2004/07/303.33-2.92%0.17%2004/08/313.1-6.91%0.66%2004/09/303.337.42%0.38%2004/10/293.27-1.80%0.09%2004/11/303.43.98%0.08%2004/12/312.99-12.06%1.76%2005/01/312.76-7.69%0.79%2005/02/283.1313.41%1.48%2005/03/312.65-
20、15.34%2.74%2005/04/292.54-4.15%0.29%2005/05/312.41-5.12%0.40%2005/06/302.32-3.73%0.25%2005/07/292.320.00%0.01%2005/08/312.6313.36%1.47%2005/09/302.889.51%0.69%2005/10/312.59-10.07%1.27%2005/11/302.52-2.70%0.15%2005/12/302.520.00%0.01%2006/01/252.748.73%0.56%2006/02/282.73-0.36%0.03%2006/03/312.68-1.
21、83%0.09%2006/04/28311.94%1.15%2006/05/313.8628.67%7.53%2006/06/303.75-2.85%0.17%2006/07/313.29-12.27%1.82%2006/08/313.2-2.74%0.16%2006/09/293.519.69%0.72%2006/10/313.653.99%0.08%2006/11/033.650.00%0.01%2006/12/213.680.82%0.00%2007/01/314.7729.62%8.06%2007/02/286.8343.19%17.61%2007/03/307.915.67%2.09
22、%2007/04/3011.3543.67%18.02%2007/05/3110.94-3.61%0.23%2007/06/296.85-37.39%14.90%2007/07/319.5739.71%14.81%2007/08/319.964.08%0.08%2007/09/2810.151.91%0.00%2007/10/318.28-18.42%3.86%2007/11/218.310.36%0.01%2007/12/2811.1934.66%11.18%2008/01/319.12-18.50%3.89%2008/02/2910.9419.96%3.51%2008/03/319.68-
23、11.52%1.62%2008/04/308.89-8.16%0.88%2008/05/306.65-25.20%6.98%2008/06/305.23-21.35%5.10%2008/07/315.31.34%0.00%2008/08/293.7-30.19%9.87%2008/09/263.54-4.32%0.31%2008/10/312.62-25.99%7.40%2008/11/283.1720.99%3.91%2008/12/313.4910.09%0.79%2009/01/233.8410.03%0.78%2009/02/274.034.95%0.14%2009/03/315.51
24、36.72%12.61%2009/04/305.47-0.73%0.04%2009/05/275.887.50%0.39%2009/06/305.78-1.70%0.09%2009/07/317.1824.22%5.29%2009/08/315.11-28.83%9.03%2009/09/305.436.26%0.25%2009/10/305.613.31%0.04%2009/11/306.9924.60%5.47%2009/12/316.3-9.87%1.23%2010/01/295.98-5.08%0.40%2010/02/266.488.36%0.51%2010/03/316.42-0.
25、93%0.05%2010/04/305.31-17.29%3.43%2010/05/314.97-6.40%0.58%2010/06/304.47-10.06%1.27%2010/07/305.4622.15%4.38%2010/08/315.928.42%0.52%2010/09/306.153.89%0.07%2010/10/296.8711.71%1.10%2010/11/307.5910.48%0.86%2010/12/317.914.22%0.09%2011/01/287.940.38%0.01%2011/02/288.7610.33%0.83%2011/03/318.80.46%0
26、.01%2011/04/299.275.34%0.17%2011/05/318.59-7.34%0.73%2011/06/309.5611.29%1.01%2011/07/298.45-11.61%1.65%2011/08/318.530.95%0.00%2011/09/307.19-15.71%2.87%2011/10/317.555.01%0.14%2011/11/307.34-2.78%0.16%2011/12/305.07-30.93%10.33%2012/01/315.610.45%0.85%2012/02/296.3313.04%1.40%2012/03/305.57-12.01%
27、1.75%2012/04/276.6419.21%3.24%2012/05/316.660.30%0.01%2012/06/295.99-10.06%1.27%2012/07/315.66-5.51%0.45%2012/08/315.64-0.35%0.02%2012/09/285.29-6.21%0.55%2012/10/315.544.73%0.12%2012/11/224.95-10.65%1.41%数数据据来来源源:上上海海财财汇汇信信息息技技术术有有限限公公司司600231交交易易日日期期收收盘盘价价收益率(实际-期望）2期望收益率=1.28%2000/05/312.522000/0
28、6/302.39-5.16%0.42%方差=2.08%2000/07/313.3540.17%15.12%标准差=14.41%2000/08/313.05-8.96%1.05%2000/09/292.67-12.46%1.89%2000/10/312.680.37%0.01%2000/11/302.949.70%0.71%2000/12/292.89-1.70%0.09%2001/01/192.983.11%0.03%2001/02/283.124.70%0.12%2001/03/303.316.09%0.23%2001/04/303.3-0.30%0.03%2001/05/313.372.1
29、2%0.01%2001/06/293.27-2.97%0.18%2001/07/312.98-8.87%1.03%2001/08/312.93-1.68%0.09%2001/09/282.63-10.24%1.33%2001/10/312.51-4.56%0.34%2001/11/302.697.17%0.35%2001/12/312.5-7.06%0.70%2002/01/312.17-13.20%2.10%2002/02/282.232.76%0.02%2002/03/292.47.62%0.40%2002/04/302.493.75%0.06%2002/05/312.2-11.65%1.
30、67%2002/06/272.4712.27%1.21%2002/07/312.542.83%0.02%2002/08/302.53-0.39%0.03%2002/09/272.45-3.16%0.20%2002/10/312.52.04%0.01%2002/11/292.38-4.80%0.37%2002/12/312.33-2.10%0.11%2003/01/292.6614.16%1.66%2003/02/282.743.01%0.03%2003/03/312.740.00%0.02%2003/04/303.8540.51%15.39%2003/05/303.75-2.60%0.15%2
31、003/06/303.770.53%0.01%2003/07/313.934.24%0.09%2003/08/293.52-10.43%1.37%2003/09/303.12-11.36%1.60%2003/10/313.6717.63%2.67%2003/11/284.0510.35%0.82%2003/12/313.98-1.73%0.09%2004/01/304.246.53%0.28%2004/02/274.475.42%0.17%2004/03/314.490.45%0.01%2004/04/303.54-21.16%5.04%2004/05/313.560.56%0.01%2004
32、/06/303.31-7.02%0.69%2004/07/302.95-10.88%1.48%2004/08/312.82-4.41%0.32%2004/09/302.975.32%0.16%2004/10/292.85-4.04%0.28%2004/11/302.850.00%0.02%2004/12/313.098.42%0.51%2005/01/312.91-5.83%0.51%2005/02/283.2210.65%0.88%2005/03/312.62-18.63%3.97%2005/04/292.47-5.73%0.49%2005/05/312.480.40%0.01%2005/0
33、6/302.480.00%0.02%2005/07/292.625.65%0.19%2005/08/312.73.05%0.03%2005/09/302.56-5.19%0.42%2005/10/312.23-12.89%2.01%2005/11/302.18-2.24%0.12%2005/12/302.242.75%0.02%2006/01/202.4911.16%0.98%2006/02/282.594.02%0.07%2006/03/312.631.54%0.00%2006/04/272.22-15.59%2.85%2006/05/312.6820.72%3.78%2006/06/302
34、.742.24%0.01%2006/07/312.791.82%0.00%2006/08/312.71-2.87%0.17%2006/09/292.69-0.74%0.04%2006/10/313.3624.91%5.58%2006/11/303.545.36%0.17%2006/12/293.776.50%0.27%2007/01/314.5119.63%3.36%2007/02/285.624.17%5.24%2007/03/306.129.29%0.64%2007/04/308.1533.17%10.17%2007/05/317.9-3.07%0.19%2007/06/297.06-10
35、.63%1.42%2007/07/318.3518.27%2.89%2007/08/3110.0720.60%3.73%2007/09/2810.797.15%0.34%2007/10/319.43-12.60%1.93%2007/11/308.26-12.41%1.87%2007/12/2110.1823.24%4.82%2008/03/319.62-5.50%0.46%2008/04/3010.9513.83%1.57%2008/05/3014.1529.22%7.81%2008/06/3010.2-27.92%8.53%2008/07/318.83-13.43%2.17%2008/08/
36、296.19-29.90%9.72%2008/09/266.352.58%0.02%2008/10/313.64-42.68%19.33%2008/11/284.9235.16%11.48%2008/12/314.34-11.79%1.71%2009/01/235.424.42%5.35%2009/02/274.93-8.70%1.00%2009/03/316.4430.63%8.61%2009/04/306.825.90%0.21%2009/05/277.5711.00%0.94%2009/06/308.8917.44%2.61%2009/07/3113.3850.51%24.23%2009
37、/08/319.08-32.14%11.17%2009/09/307.95-12.44%1.89%2009/10/309.7923.14%4.78%2009/11/3012.1524.11%5.21%2009/12/3112.825.51%0.18%2010/01/299.98-22.15%5.49%2010/02/2610.838.52%0.52%2010/03/3111.354.80%0.12%2010/04/309.05-20.26%4.64%2010/05/317.03-22.32%5.57%2010/06/305.77-17.92%3.69%2010/07/307.1824.44%5
38、.36%2010/08/307.524.74%0.12%2010/09/307.864.52%0.10%2010/10/299.5922.01%4.30%2010/11/308.51-11.26%1.57%2010/12/318.641.53%0.00%2011/01/319.489.72%0.71%2011/02/2810.399.60%0.69%2011/03/3110.32-0.67%0.04%2011/04/299.52-7.75%0.82%2011/05/318.52-10.50%1.39%2011/06/309.086.57%0.28%2011/07/298.46-6.83%0.6
39、6%2011/08/318.18-3.31%0.21%2011/09/306.56-19.80%4.45%2011/10/316.915.34%0.16%2011/11/306.11-11.58%1.65%2011/12/305.47-10.47%1.38%2012/01/315.32-2.74%0.16%2012/02/296.0413.53%1.50%2012/03/305.13-15.07%2.67%2012/04/264.99-2.73%0.16%2012/05/315.5511.22%0.99%2012/06/294.65-16.22%3.06%2012/07/313.85-17.2
40、0%3.42%2012/08/313.67-4.68%0.36%2012/09/283.711.09%0.00%2012/10/313.864.04%0.08%2012/11/223.71-3.89%0.27%数数据据来来源源:上上海海财财汇汇信信息息技技术术有有限限公公司司交交易易日日期期收收盘盘价价收益率(实际-期望）2 期望收益率=2.54%2001/12/311.622002/01/311.44-11.11%1.86%方差=2.92%2002/02/281.525.56%0.09%标准差=17.09%2002/03/291.541.32%0.02%2002/04/301.614.55%
41、0.04%2002/05/311.42-11.80%2.06%2002/06/281.6214.08%1.33%2002/07/311.5-7.41%0.99%2002/08/301.48-1.33%0.15%2002/09/271.44-2.70%0.28%2002/10/311.43-0.69%0.10%2002/11/291.27-11.19%1.89%2002/12/311.14-10.24%1.63%2003/01/291.259.65%0.50%2003/02/281.314.80%0.05%2003/03/311.24-5.34%0.62%2003/04/301.12-9.68%
42、1.49%2003/05/301.152.68%0.00%2003/06/301.14-0.87%0.12%2003/07/311.03-9.65%1.49%2003/08/291.01-1.94%0.20%2003/09/300.97-3.96%0.42%2003/10/310.93-4.12%0.44%2003/11/280.952.15%0.00%2003/12/311.0813.68%1.24%2004/01/301.123.70%0.01%2004/02/271.5538.39%12.85%2004/03/311.5-3.23%0.33%2004/04/301.35-10.00%1.
43、57%2004/05/311.29-4.44%0.49%2004/06/301.02-20.93%5.51%2004/07/301.1916.67%1.99%2004/08/311.265.88%0.11%2004/09/301.4716.67%1.99%2004/10/291.491.36%0.01%2004/11/301.67.38%0.23%2004/12/311.56-2.50%0.25%2005/01/311.41-9.62%1.48%2005/02/281.6617.73%2.31%2005/03/311.787.23%0.22%2005/04/292.3330.90%8.04%2
44、005/05/311.92-17.60%4.06%2005/06/302.1310.94%0.70%2005/07/292.130.00%0.06%2005/08/312.255.63%0.10%2005/09/302.5714.22%1.36%2005/10/312.5-2.72%0.28%2005/11/252.64.00%0.02%2005/12/303.0316.54%1.96%2006/01/254.445.21%18.21%2006/02/283.89-11.59%2.00%2006/03/314.9226.48%5.73%2006/04/286.9340.85%14.68%200
45、6/05/318.3520.49%3.22%2006/06/307.91-5.27%0.61%2006/07/317.33-7.33%0.98%2006/08/317.06-3.68%0.39%2006/09/296.3-10.76%1.77%2006/10/316.310.16%0.06%2006/11/307.4117.43%2.22%2006/12/297.25-2.16%0.22%2007/01/319.5531.72%8.51%2007/02/2810.459.42%0.47%2007/03/3011.6111.10%0.73%2007/04/3017.4950.65%23.14%2
46、007/05/3123.2933.16%9.37%2007/06/2923.02-1.16%0.14%2007/07/3128.6124.28%4.73%2007/08/3132.3913.21%1.14%2007/09/2638.117.63%2.28%2008/04/3019.72-48.24%25.79%2008/05/3012.97-34.23%13.52%2008/06/3010.99-15.27%3.17%2008/07/3111.948.64%0.37%2008/08/298.26-30.82%11.13%2008/09/267.22-12.59%2.29%2008/10/314
47、.12-42.94%20.69%2008/11/284.9921.12%3.45%2008/12/315.12.20%0.00%2009/01/236.4326.08%5.54%2009/02/279.5248.06%20.71%2009/03/3113.9246.22%19.07%2009/04/3015.18.48%0.35%2009/05/2716.297.88%0.28%2009/06/3015.89-2.46%0.25%2009/07/3121.3234.17%10.00%2009/08/3115.62-26.74%8.57%2009/09/3016.123.20%0.00%2009
48、/10/3018.2513.21%1.14%2009/11/2719.024.22%0.03%2009/12/3118.08-4.94%0.56%2010/01/2914.92-17.48%4.01%2010/02/2614.990.47%0.04%2010/03/3114.9-0.60%0.10%2010/04/3013.67-8.26%1.17%2010/05/1913.61-0.44%0.09%2010/06/3010.33-24.10%7.10%2010/07/3012.3719.75%2.96%2010/08/3113.277.28%0.22%2010/09/3015.1314.02
49、%1.32%2010/10/2917.3414.61%1.45%2010/11/3015.57-10.21%1.63%2010/12/3115.51-0.39%0.09%2011/01/3113.86-10.64%1.74%2011/02/2816.7320.71%3.30%2011/03/3116.830.60%0.04%2011/04/2916.920.53%0.04%2011/05/3114.78-12.65%2.31%2011/06/3013.31-9.95%1.56%2011/07/2913.864.13%0.03%2011/08/3112.91-6.85%0.88%2011/09/
50、3012.27-4.96%0.56%2011/10/3112.22-0.41%0.09%2011/11/3010.77-11.87%2.08%2011/12/308.32-22.75%6.40%2012/01/319.2310.94%0.70%2012/02/299.937.58%0.25%2012/03/308.35-15.91%3.41%2012/04/279.068.50%0.35%2012/05/318.93-1.43%0.16%2012/06/298.04-9.97%1.57%2012/07/316.05-24.75%7.45%2012/08/316.080.50%0.04%2012