场内基金策略周报：推荐锐进、瑞福进取、鑫利-2012-10-23.ppt

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1、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：0755-82133139电话：0755-82150566,证券投资咨询执业资格证书编码：S09805120800022012年10月22日,4-Jan-12,19-Jan-12,3-Feb-12,18-Feb-12,4-Mar-12,19-Mar-12,3-Apr-12,18-Apr-12,3-May-12,18-May-12,2-Jun-12,17-Jun-12,2-Jul-12,17-Jul-12,1-Aug-12,16-Aug-12,31-Aug-12,15-Sep-12,30-Sep-12,15-Oct-12

2、,投资策略摘要,1.351.251.151.050.950.850.75,国信杠杆基金指数,2X上证综指,上证综指30272827262724272227202718271627,本周进取份额推荐：银华锐进（150019）、瑞福进取（150001）、银华鑫利（150031）本周稳健份额推荐：申万收益(150022)、银华稳进（150018）、银华金瑞（150059）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：上周上证综指涨幅1.11%，深证成指涨幅1.69%。我们上周推荐的3只B类份额

3、中，银华锐进涨幅4.86%、瑞福进取涨幅3.06%、银华鑫利涨幅1.55%。推荐的A类份额中，申万收益涨幅0.00%，银华金瑞涨幅1.15%，银华金利涨幅0.97%。上周申万进取表现差强人意，尽管有2.6倍的价格杠杆且跟踪指数涨幅达1.69%，但其价格涨幅仅有1.63%，这也使得其上周整体折溢价从0.49%回落至-0.56%。我们认为申万进取的这种表现主要有2方面的原因，1是申万进取融资成本过高，一旦市场反弹，价格杠杆下降，投资者继续追高意愿不足；2是市场的上涨实际上对申万收益是利多，因为其延期支付的概率将减小，因此将消耗申万进取部分涨幅。本周我们继续推荐银华锐进，银华锐进当前价格杠杆2.4倍

4、，融资成本6.8%，比较适宜，如后市继续反弹，还会因银华稳进内涵下折期权的价值降低而受益。当然投资者也需注意如果市场走弱，下折预期风险再次释放。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-1.89%，国信杠杆基金指数区间收益率为-1.48%，相对上证综指的为1.89，年化alpha为5.51%。,国信杠杆基金指数,2X上证综指,上证综指,30271.3528271.2526271.152427,1.050.950.850.75,资料来源：wind资讯、国信证券经济研究所整理,2227202718271627,-,-,进取份额投资策略摘要,产 品名称银华锐

5、进国投瑞银瑞福进取银华鑫利申万菱信深成进取信 诚中证500B国 联安双禧B中证100银华鑫瑞长 盛同庆中证800B,关注行业房地产、食品饮料房地产、食品饮料有色金属、采掘食品饮料、房地产化工、机械设备、医药生物金融服务采掘、有色金属金融服务,最新价格0.6470.8771.1820.4740.5000.7370.8940.805,价格杠杆2.4422.2301.7942.6242.2731.9471.7191.876,折溢价率22.54%-7.29%6.39%146.88%13.90%9.67%7.32%-2.31%,流通份额68.4536.4614.1339.2212.4323.915.01

6、20.19,当前整体折溢价率-0.19%-0.19%-0.56%-0.29%0.23%0.13%-0.73%,近 20日平均整体折溢价率-0.21%-0.60%-0.10%-0.21%-0.26%0.57%-0.52%,上周日均成交 额(万）28411106426592177845168499833891813,推荐建议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,万 家中证创业成长分级B 建筑建材、食品饮料、房地产,1.062,1.911,4.53%,0.26,-0.74%,-0.90%,933,谨慎推荐,招 商中证大宗商品B国 联安双力中小板B申 万菱信中小板B信 诚沪深300B广

7、 发深证100B泰达进取工 银瑞信睿智B,有色、采掘、化工电子、医药生物、机械设备电子、医药生物、机械设备金融服务房地产、食品饮料化工、机械设备、医药生物化工、机械设备、医药生物,0.9160.7950.8110.9080.8030.9480.888,2.1402.3522.3132.0132.1881.6841.734,-2.45%-4.22%-3.91%16.26%10.74%6.16%5.74%,1.080.720.450.650.830.180.07,-0.87%-0.80%-0.85%-0.66%-0.67%0.00%-0.19%,-0.32%-0.56%-0.44%-0.28%2.

8、14%0.80%0.34%,538152143141126216133,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,2,128.30 对应涨幅下上证指数点位（估算）,2022,2235,2341,2448,2554,基金名称申万菱信深成进取银华锐进国联安双力中小板B申万菱信中小板B信诚中证500B广发深证100B招商中证大宗商品B浙商进取金鹰中证500B信诚沪深300B国联安双禧B中证100华安沪深300指数分级B长盛同庆中证800B银华鑫利工银瑞信睿智B银华鑫瑞诺安进取泰达进取长盛同瑞B长城久兆积极,价

9、格杠杆2.6242.4422.3522.3132.2732.1882.1402.0832.0682.0131.9471.9271.8761.7941.7341.7191.7031.6841.6601.658,跟踪指数深成指深证100中小板综中小板指中证500深证100大宗商品沪深300中证500沪深300中证100沪深300中证800等权90中证500内地资源中证创业成长中证500中证200中小300,母基金近20日beta1.261.281.191.211.171.271.321.100.511.101.011.101.121.161.201.261.161.221.101.19,-5.00

10、%-13.12%-12.21%-11.76%-11.57%-11.37%-10.94%-10.70%-10.42%-10.34%-10.07%-9.74%-9.64%-9.38%-8.97%-8.67%-8.59%-8.51%-8.42%-8.30%-8.29%,5.00%13.12%12.21%11.76%11.57%11.37%10.94%10.70%10.42%10.34%10.07%9.74%9.64%9.38%8.97%8.67%8.59%8.51%8.42%8.30%8.29%,10.00%26.24%24.42%23.52%23.13%22.73%21.88%21.40%20.8

11、3%20.68%20.13%19.47%19.27%18.76%17.94%17.34%17.19%17.03%16.84%16.60%16.58%,15.00%39.37%36.63%35.28%34.70%34.10%32.82%32.10%31.25%31.02%30.20%29.21%28.91%28.14%26.90%26.01%25.78%25.54%25.26%24.90%24.86%,20.00%52.49%48.84%47.04%46.26%45.47%43.76%42.79%41.66%41.35%40.26%38.94%38.55%37.52%35.87%34.68%34

12、.38%34.05%33.68%33.20%33.15%,资料来源：wind资讯、国信证券经济研究所整理,一周行业表现行业收益率,食品饮料房地产建筑建材医药生物交运设备电子商业贸易交通运输机械设备纺织服装金融服务餐饮旅游黑色金属公用事业家用电器轻工制造化工农林牧渔信息服务采掘,1.93%1.77%1.75%1.64%1.47%1.43%1.38%1.20%1.13%0.95%0.86%0.74%0.70%0.65%0.38%0.36%0.25%,2.52%,2.94%,4.20%,-1.27%,-0.86%,信息设备有色金属,-2.00%,-1.00%,0.00%,1.00%,2.00%,3.

13、00%,4.00%,5.00%,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）,银华稳进申万菱信深成收益银华金瑞国联安双禧A中证100信诚中证500A长盛同庆中证800A银华金利广发深证100A泰达稳健招商中证大宗商品A,0.9300.7630.9671.0520.9501.0410.9340.9420.9731.027,4.61%4.23%2.87%1.25%3.

14、26%0.48%3.20%2.39%2.53%0.98%,10.19%1.46%6.26%7.13%10.08%0.29%6.71%6.32%3.40%,19.71%2.91%24.35%23.03%17.91%,6.50%6.50%7.00%5.75%6.70%7.00%6.50%7.00%7.00%6.75%,6.79%-17.59%8.27%7.10%-37.92%7.07%-36.35%6.83%-16.66%6.27%-38.01%7.02%-40.61%7.12%-27.04%7.05%-40.29%6.45%-35.15%,8384552289924801562121899818

15、8182137,-11.60%-27.47%-8.43%-8.12%-9.18%1.17%-7.43%-8.69%-7.77%0.59%,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,资料来源：wind资讯、国信证券经济研究所整理,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,2012-09-17,2012-09-18,2012-09-19,2012-09-20,2012-09-21,2012-09-

16、22,2012-09-23,2012-09-24,2012-09-25,2012-09-26,2012-09-27,2012-09-28,2012-09-29,2012-09-30,2012-10-01,2012-10-02,2012-10-03,2012-10-04,2012-10-05,2012-10-06,2012-10-07,2012-10-08,2012-10-09,2012-10-10,2012-10-11,2012-10-12,2012-10-13,2012-10-14,2012-10-15,2012-10-16,2012-10-17,2012-10-18,2012-10-19,

17、带配对转换分级基金整体折溢价变动,国联安双禧中证100,银华深证100,申万菱信深证成指分级,信诚中证500分级,银华中证等权重90,1.50%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,3.06%,2.03%,1.64%1.63%1.55%,1.15%,1.13%,0.88%,2.00%,0.22%,-0.26%,一周市场表现（进取份额）上周收益率16.00%14.13%14.00%12.00%10.00%8.00%,6.00%4.00%,5.52%4.86%4.17%4.07%,3.26%,2.36%1.50%1.38%

18、1.03%0.00%0.00%-0.11%,-2.00%资料来源：wind资讯、国信证券经济研究所整理,-1.00%,1.27%,0.89%,0.31%,0.11%0.11%,-0.17%,-0.22%,一周市场表现（稳健份额）,上周收益率,2.00%1.67%,1.46%,1.15%1.15%,0.97%,1.00%0.75%,0.38%,0.00%0.00%0.00%,0.00%,-0.10%-0.11%,-0.31%-1.00%,-2.00%,-3.00%,-4.00%,-4.30%-5.00%,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

19、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

20、.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%

21、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.

22、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

23、.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%0.0

24、0%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%

25、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%,6.6

26、0%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

27、.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

28、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。,