【南华期货】南华商品指数日报-250106（8页）.pdf

1、(202516)1 (202516)-0.35%-0.87%-0.05%0.3%-1.19%-0.15%4.14%-2.83%1 Index Market Data Today Close Pre.Close Points%ARR An.Vol Sharpe Ratio NHCI 2477.13 2485.73-8.60-0.35%-3.37%12.76%-0.26 NHPMI 1027.49 1031.86-4.38-0.42%26.99%17.89%1.51 NHII 3738.88 3750.87-11.99-0.32%-8.21%14.10%-0.58 NHMI 6171.62 619

2、9.92-28.29-0.46%-8.02%15.82%-0.51 NHECI 1812.91 1816.64-3.73-0.21%-9.59%14.22%-0.67 NHNFI 1604.25 1605.04-0.79-0.05%2.92%14.22%0.21 NHFI 2573.35 2596.00-22.65-0.87%-23.85%22.68%-1.05 NHAI 1031.83 1033.99-2.16-0.21%-3.47%9.94%-0.35 Z0000505 0571-87839251 F03103098 0571-87839263 F03118352 0571-8783926

3、3 20111290 南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货(202516)2 2 Today Close Pre.Close Points%ARR An.Vol Sharpe Ratio NHCIMi 1112.70 1119.91-7.21-0.64%-5.32%14.37%-0.37 NHEI 1135.34 1131.96 3.37 0.30%2.98%14.20%0.21 NHPCI 999.49 1004.92-5.44-0.54%-0.72%9.19%-0.08 NHCCI 1101.00 1108.20-7.20-0.6

4、5%-2.58%10.05%-0.26 NHFMI 1033.80 1046.27-12.48-1.19%-5.60%19.71%-0.28 NHBMI 818.48 822.27-3.79-0.46%-5.98%14.28%-0.42 NHOOI 1134.66 1139.16-4.50-0.39%-3.48%14.81%-0.23 NHAECI 848.64 849.89-1.25-0.15%-3.38%9.65%-0.35 1VS Commodity Return vs Volatility 0.00%5.00%10.00%15.00%20.00%25.00%30.00%35.00%-3

5、.00%-2.50%-2.00%-1.50%-1.00%-0.50%0.00%0.50%1.00%1.50%PVCPTALPG 南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货(202516)3 2 /|3 Proportion of Change in Position -20.00%-15.00%-10.00%-5.00%0.00%5.00%10.00%15.00%PTALPGPVC南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货南华期货(202516)4 4 0.000.501.001.502.002

6、.503.003.5014/9/2516/9/2518/9/2520/9/2522/9/2524/9/25NHCINHPMINHIINHAI 0.000.501.001.502.002.503.003.504.004.5014/9/2516/9/2518/9/2520/9/2522/9/2524/9/25NHMINHECINHNFINHFI 5 0.700.800.901.001.101.201.301.4023/12/2524/2/2524/4/2524/6/2524/8/