场内基金策略周报：信诚B、锐进临近到点折算A份额推荐稳进、申万收益1204.ppt
证券研究报告国信证券场内基金策略周报,联系人：钱晶 证券分析师：刘洋,电话：021-60875163电话：0755-82150566,证券投资咨询执业资格证书编码：S09805120800022012年12月03日,02-May-2012,23-May-2012,16-Aug-2012,06-Sep-2012,27-Sep-2012,14-Mar-2012,01-Feb-2012,22-Feb-2012,04-Jan-2012,13-Jun-2012,25-Oct-2012,09-Apr-2012,05-Jul-2012,26-Jul-2012,15-Nov-2012,投资策略摘要,1.41.31.21.110.90.80.7,国信杠杆基金指数,2X上证综指,上证综指29182718251823182118191817181518,本周进取份额推荐：银华鑫利（150031）、双禧B（150013）、鹏华资源B（150101）本周稳健份额推荐：银华稳进（150018）、银华金瑞（150059）、申万收益（150022）投资逻辑：进取份额投资主要考虑价格杠杆、整体折溢价、A份额价格变化预期、跟踪指数、流动性等要素；稳健份额投资,主要考虑隐含收益率、流动性等要素。市场回顾：上周上证综指跌幅-2.33%，深证成指跌幅-2.60%。我们上周推荐的3只B类份额中，银华鑫利跌幅-5.72%、双禧B跌幅-5.00%，鹏华资源B跌幅-10.32%；推荐的A类份额中，银华稳进涨幅3.68%，银华金瑞涨幅1.20%。上周，由于信诚B临近到点折算，其跌幅高达-25.13%。当前，若其母基金净值再跌-2.79%，即会触发到点折算。根据测算，触发到点折算前信诚500A的合理价格应在1.03左右；信诚500B的合理价格应在0.27左右，向下的风险为-7.5%，信诚B的下折风险当前已基本释放。银华锐进当前同样接近向下折算点，若母基金再跌-7.43%即会触发，建议投资者关注。上周四，申万进取盘中突然跌停。我们认为其中一个原因是由于此前申万进取的强势导致申万收益跌幅较高，导致其价格被低估。周四申万进取的跌停和申万收益的突然上涨对之前的价格偏差起到了一定的修正作用。鉴于申万收益当前向下的空间有限，我们再度给与其推荐建议。2,3,国信杠杆基金指数历史回溯自2012年1月4日成立以来，上证综指区间收益率为-8.73%，国信杠杆基金指数区间收益率为-19.56%，相对上证综指的为1.90，年化alpha为-1.69%。,国信杠杆基金指数,2X上证综指,上证综指,1.429181.327181.225181.12318,10.90.80.7,资料来源：wind资讯、国信证券经济研究所整理,2118191817181518,-,-,进取份额投资策略摘要近 20日,产 品名称,关 注行业(上周涨幅）,最新价格,价格杠杆,折溢价率,流通份额,当前整体 平均整 上周日均成折溢价率 体折溢 交 额(万）,推 荐建议,价率,国联安双禧B中证100银华鑫利鹏华资源B银华锐进申万菱信深成进取国投瑞银瑞福进取信诚中证500B银华鑫瑞长盛同庆中证800B长盛同辉深证100等权B招商中证大宗商品B申万菱信中小板B泰达进取,金融服务有色、采掘有色、采掘食品饮料、房地产房地产、食品饮料房地产、食品饮料化工、机械设备、医药生物有色、采掘金融服务房地产、食品饮料有色、采掘、化工电子、医药生物、机械设备化工、机械设备、医药生物,0.6150.9560.7820.4150.3410.6850.2920.6810.6660.7420.6450.5660.754,2.1902.0312.1973.4073.2842.5493.3562.0022.0652.4532.6112.8271.837,6.22%3.35%10.61%16.90%251.55%-5.91%5.42%4.13%-2.63%-7.83%-1.53%1.07%11.54%,22.3411.280.9384.1847.0836.4613.385.4620.611.471.150.640.24,-1.06%-0.57%-0.88%-0.56%-0.76%-0.28%-0.92%0.10%-0.80%-0.13%-0.95%-0.21%-0.66%-0.28%-0.07%-0.49%-1.21%-0.45%0.06%-0.19%0.31%1.18%3.87%1.11%,368935511142954615589789061811543939478275308188,推荐推荐推荐谨慎推荐谨慎推荐谨慎推荐谨慎推荐谨慎推荐谨慎推荐谨慎推荐谨慎推荐中性中性,资料来源：wind资讯、国信证券经济研究所整理,预期价格涨幅情景测试,上证综指点位,1,980.12 对应涨幅下上证指数点位（估算）,1881,2079,2178,2277,2376,基金名称银华锐进信诚中证500B申万菱信深成进取申万菱信中小板B国联安双力中小板B广发深证100B招商中证大宗商品B金鹰中证500B长盛同辉深证100等权B易方达中小板指数B信诚沪深300B万家中证创业成长分级B浙商进取诺德深证300B鹏华资源B华安沪深300指数分级B工银瑞信深证100B国联安双禧B中证100长盛同庆中证800B工银瑞信睿智B银华鑫利银华鑫瑞长城久兆积极诺安进取泰信基本面400B华商中证500B,价格杠杆3.4073.3563.2842.8272.8042.7302.6112.4622.4532.4382.4252.3462.3082.2182.1972.1962.1912.1902.0652.0402.0312.0021.9671.9531.9511.904,跟踪指数深 100中 证 500深成指中 小 板指中 小 板综深 100大 宗 商品中 证 500深 100等 权中 小 板指沪 深 300中 证 创业成长沪 深 300深 300A股 资 源沪 深 300深 100中 证 100中 证 800中 证 500等 权 90内 地 资源中 小 300中 证 创业成长基 本面400中 证 500,母 基金近20日beta1.131.481.031.141.371.161.581.141.351.081.061.071.031.201.601.071.230.971.101.481.161.501.291.060.000.97,-5.00%-17.04%-16.78%-16.42%-14.13%-14.02%-13.65%-13.05%-12.31%-12.26%-12.19%-12.13%-11.73%-11.54%-11.09%-10.98%-10.98%-10.95%-10.95%-10.32%-10.20%-10.16%-10.01%-9.83%-9.77%-9.76%-9.52%,5.00%17.04%16.78%16.42%14.13%14.02%13.65%13.05%12.31%12.26%12.19%12.13%11.73%11.54%11.09%10.98%10.98%10.95%10.95%10.32%10.20%10.16%10.01%9.83%9.77%9.76%9.52%,10.00%34.07%33.56%32.84%28.27%28.04%27.30%26.11%24.62%24.53%24.38%24.25%23.46%23.08%22.18%21.97%21.96%21.91%21.90%20.65%20.40%20.31%20.02%19.67%19.53%19.51%19.04%,15.00%51.11%50.34%49.27%42.40%42.05%40.95%39.16%36.93%36.79%36.57%36.38%35.19%34.62%33.28%32.95%32.93%32.86%32.85%30.97%30.60%30.47%30.03%29.50%29.30%29.27%28.56%,20.00%68.14%67.12%65.69%56.54%56.07%54.60%52.22%49.24%49.06%48.75%48.50%46.92%46.17%44.37%43.94%43.91%43.81%43.79%41.29%40.80%40.63%40.04%39.34%39.07%39.03%38.08%,资料来源：wind资讯、国信证券经济研究所整理,-0.43%,一周行业表现行业收益率黑色金属,-8.35%,-6.23%-6.34%-6.37%-6.47%-6.62%-6.64%-6.83%-6.96%-7.10%-7.33%,-4.06%-4.38%-4.83%-4.85%,-2.12%-2.28%-2.47%-2.84%-3.29%,-1.22%,家用电器房地产金融服务建筑建材交通运输交运设备公用事业采掘医药生物食品饮料有色金属机械设备商业贸易信息设备餐饮旅游轻工制造化工电子信息服务纺织服装农林牧渔,-9.00%,-8.00%,-7.00%,-6.00%,-5.00%,-4.00%,-3.00%,-2.00%,-1.00%,0.00%,资料来源：wind资讯、国信证券经济研究所整理,-,-,-,-,-,-,-,-,-,稳健份额投资策略摘要,基金名称,最新价格,近 1个月收益率（复权）,近 3个月收 近1年收益益率（复 率（复权）权）,约定收益 隐含收益 触发下折率 率 所需跌幅,日均成交金额 折溢价率 推荐建议（万）,申万菱信深成收益银华金瑞,0.7701.010,2.12%3.91%,3.36%6.88%,6.50%7.00%,7.97%6.85%-29.63%,8840415,-24.73%-5.08%,推荐推荐,银华稳进,0.986,4.12%,14.39%,19.83%,6.50%,6.44%,-7.43%,17895,-6.89%,推荐,国联安双禧A中证100广发深证100A银华金利申万菱信中小板A泰达稳健信诚沪深300A,1.0760.9870.9691.0391.0270.977,1.03%3.57%2.11%-0.67%3.95%5.62%,4.77%10.03%1.27%7.43%14.27%,20.22%,5.75%7.00%7.00%7.00%7.00%6.50%,6.95%-31.88%6.85%-17.97%6.82%-34.76%6.76%-19.38%6.73%-30.78%6.47%-21.73%,61541611843294399148,-6.52%-5.08%-4.72%-0.10%-3.39%-7.31%,谨慎推荐谨慎推荐谨慎推荐谨慎推荐谨慎推荐谨慎推荐,信诚中证500A,1.018,5.38%,14.51%,23.61%,6.70%,6.42%,-2.79%,5307,-3.42%,谨慎推荐,资料来源：wind资讯、国信证券经济研究所整理,07-Dec-2011,15-Dec-2011,23-Dec-2011,04-Jan-2012,12-Jan-2012,20-Jan-2012,06-Feb-2012,14-Feb-2012,22-Feb-2012,01-Mar-2012,09-Mar-2012,19-Mar-2012,27-Mar-2012,09-Apr-2012,17-Apr-2012,25-Apr-2012,07-May-2012,15-May-2012,23-May-2012,31-May-2012,08-Jun-2012,18-Jun-2012,27-Jun-2012,05-Jul-2012,13-Jul-2012,23-Jul-2012,31-Jul-2012,08-Aug-2012,16-Aug-2012,24-Aug-2012,03-Sep-2012,11-Sep-2012,19-Sep-2012,27-Sep-2012,12-Oct-2012,22-Oct-2012,30-Oct-2012,07-Nov-2012,15-Nov-2012,23-Nov-2012,稳健份额与信用债对比,15年期AA,15年期AA-,银华稳进,申万收益,信诚A,银华金利,9.50%9.00%8.50%8.00%7.50%7.00%6.50%6.00%资料来源：wind资讯、国信证券经济研究所整理,带配对转换分级基金整体折溢价变动,国联安双禧中证100信诚中证500分级1.00%0.50%0.00%-0.50%-1.00%-1.50%资料来源：wind资讯、国信证券经济研究所整理,银华深证100银华中证等权重90,申万菱信深证成指分级,-10.32%,-12.20%,一周市场表现（进取份额）上周收益率0.00%-5.00%-3.76%,-5.26%-5.72%,-6.57%,-7.34%,-10.00%-15.00%-20.00%,-8.28%,-9.03%,-9.62%-10.04%-10.26%,-11.99%,-12.84%-13.59%-18.15%,-25.00%-25.13%-30.00%资料来源：wind资讯、国信证券经济研究所整理,一周市场表现（稳健份额）上周收益率5.00%3.98%,4.00%,3.76%3.68%,3.06%3.00%2.16%2.00%,1.58%,1.44%,1.20%,1.00%,0.93%,0.26%0.19%,0.10%,0.00%-0.09%-0.19%,-0.41%-0.48%,-0.56%,-1.00%,-0.84%,-0.97%,-1.53%-2.00%资料来源：wind资讯、国信证券经济研究所整理,附录1：主要指数行业暴露回归分析,上证综指 沪深300,中证100,中证200,中证500,内地消费 内地资源 创业成长 等权90,深证成指 中小300,中小板综 深证100P,农林牧渔采掘化工黑色金属有色金属建筑建材机械设备电子交运设备信息设备家用电器食品饮料纺织服装轻工制造医药生物公用事业交通运输房地产金融服务商业贸易餐饮旅游信息服务,0.20%6.85%0.00%5.52%5.01%1.24%0.00%0.00%4.79%0.00%1.71%7.85%0.00%0.00%0.74%11.42%16.14%0.84%34.72%0.00%0.00%2.97%,0.00%10.40%0.00%2.91%7.40%4.80%3.07%0.00%8.82%0.00%4.23%8.42%0.00%0.00%0.07%0.00%10.79%7.81%31.28%0.00%0.00%0.00%,0.00%12.53%0.00%3.96%3.55%0.86%0.00%0.00%4.74%0.00%4.01%5.93%0.00%0.00%0.00%0.00%8.17%7.02%49.22%0.00%0.00%0.00%,0.00%7.91%0.00%0.66%13.20%6.68%15.96%0.15%8.61%2.27%2.25%3.72%0.00%0.00%12.97%0.00%10.10%10.25%1.38%3.87%0.00%0.01%,6.72%0.00%6.76%0.00%3.66%3.34%12.15%20.27%0.82%1.94%0.00%0.00%11.13%11.79%8.62%0.00%0.00%5.00%0.00%5.41%2.40%0.00%,0.00%0.07%0.00%0.00%0.00%0.00%0.00%0.00%14.07%0.00%24.31%43.05%0.00%0.00%0.00%0.00%0.00%1.86%4.09%12.54%0.00%0.00%,0.00%45.06%0.00%0.00%51.29%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%3.66%0.00%0.00%0.00%,4.94%0.71%0.00%0.00%3.29%2.69%15.23%18.76%0.00%0.48%5.07%9.49%0.00%0.00%21.16%0.00%0.00%6.06%0.00%6.23%0.00%5.90%,0.00%14.85%0.00%5.17%15.51%4.33%0.00%0.00%4.39%0.00%3.79%4.96%0.00%0.00%0.00%0.00%11.14%6.97%28.89%0.00%0.00%0.00%,0.00%17.96%0.00%3.48%4.69%3.74%2.74%0.00%7.08%0.00%15.62%15.52%0.00%0.00%0.00%0.00%0.00%14.29%13.43%1.46%0.00%0.00%,6.25%0.00%0.00%0.00%3.01%1.18%14.18%27.49%0.00%0.48%1.98%3.74%4.65%0.00%15.13%0.00%0.00%0.00%0.00%14.96%0.00%6.96%,6.39%0.00%1.24%0.00%3.72%1.03%13.37%27.51%0.00%1.53%1.22%4.34%7.64%0.00%14.59%0.00%0.00%0.00%0.00%8.61%0.56%8.25%,0.00%12.64%0.00%1.89%7.59%6.55%14.69%0.00%6.14%0.00%12.32%10.62%0.00%0.00%2.77%0.00%0.00%12.51%8.53%3.75%0.00%0.00%,资料来源：wind资讯、国信证券经济研究所整理,13.53%,附录2：主要指数行业分布,深证100P,深成指,16.00%14.09%14.00%12.00%8.00%6.00%4.00%2.00%0.00%,10.00%8.40%8.08%,7.00%6.31%,5.36%5.25%5.13%,20.00%18.81%18.00%16.00%14.32%14.00%12.00%10.00%4.41%8.00%6.00%4.00%2.00%0.00%,9.24%8.46%,7.57%7.01%,6.42%5.75%,5.01%,3.78%,30.00%27.78%,中证100,16.00%14.89%,中证等权,25.00%,14.00%,12.35%12.09%,20.00%15.00%10.00%5.00%0.00%,18.16%8.00%,6.05%5.91%4.86%,12.00%10.00%8.00%6.00%3.87%3.81%3.81%3.32%4.00%2.00%0.00%,8.98%,6.60%6.50%,5.66%5.29%4.96%,4.10%,资料来源：wind资讯、国信证券经济研究所整理,附录2：主要指数行业分布,中证50010.00%9.39%9.07%8.88%8.88%9.00%,25.00%,沪深300,8.00%7.00%6.00%5.00%4.00%3.00%2.00%1.00%,6.13%,5.25%4.91%4.84%4.82%,4.22%,20.00%15.00%10.00%5.00%,19.47%12.74%7.27%7.18%6.80%6.03%,5.08%5.04%4.44%4.33%,0.00%16.00%14.68%14.00%,中证800,0.00%16.00%14.15%14.00%,中小板综,12.00%10.00%8.00%6.00%,10.13%6.61%6.60%6.33%5.82%,5.67%5.47%4.87%,4.33%,12.00%10.00%8.00%6.00%,10.49%8.59%8.57%,7.58%,5.91%,5.05%5.04%4.77%4.50%,4.00%2.00%0.00%资料来源：wind资讯、国信证券经济研究所整理,4.00%2.00%0.00%,风险提示,本报告信息均来源于公开资料，我公司对这些信息的准确性和完整性不作任何保证。报告中的内容和意见仅供参,考，并不构成对所述证券买卖的出价或询价。我公司及其雇员对使用本报告及其内容所引发的任何直接或间接损失概不负责。我公司或关联机构可能会持有报告中所提到的公司所发行的证券头寸并进行交易，还可能为这些公司提供或争取提供投资银行业务服务。本报告版权归国信证券所有，未经书面许可任何机构和个人不得以任何形式翻版、复制、刊登。,证券投资咨询业务的说明,证券投资咨询业务是指取得监管部门颁发的相关资格的机构及其咨询人员为证券投资者或客户提供证券投资的相,关信息、分析、预测或建议，并直接或间接收取服务费用的活动。,证券研究报告是证券投资咨询业务的一种基本形式，指证券公司、证券投资咨询机构对证券及证券相关产品的价,值、市场走势或者相关影响因素进行分析，形成证券估值、投资评级等投资分析意见，制作证券研究报告，并向客户发布的行为。,
