【南华期货】南华商品指数日报-250108（8页）.pdf

1、(202518)1 (202518)-0.02%0.59%0.05%-0.7%-0.04%0.33%-1.13%-0.03%2.02%-3.07%1 Index Market Data Today Close Pre.Close Points%ARR An.Vol Sharpe Ratio NHCI 2477.96 2478.37-0.41-0.02%-3.00%12.74%-0.24 NHPMI 1037.43 1033.95 3.48 0.34%27.79%17.90%1.55 NHII 3731.95 3730.17 1.79 0.05%-7.77%14.08%-0.55 NHMI 61

2、90.05 6181.91 8.13 0.13%-7.90%15.81%-0.50 NHECI 1801.20 1801.88-0.68-0.04%-8.97%14.17%-0.63 NHNFI 1623.47 1613.95 9.52 0.59%4.17%14.24%0.29 NHFI 2542.04 2560.03-17.99-0.70%-24.60%22.68%-1.08 NHAI 1026.11 1029.04-2.93-0.28%-4.54%9.94%-0.46 Z0000505 0571-87839251 F03103098 0571-87839263 F03118352 0571

3、-87839263 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(202518)2 2 Today Close Pre.Close Points%ARR An.Vol Sharpe Ratio NHCIMi 1106.70 1107.85-1.15-0.10%-5.07%14.35%-0.35 NHEI 1135.92 1132.20 3.72 0.33%1.99%14.06%0.14 NHPCI 989.43 989.73-0.30-0.03%-1.57%9.36%-0.17 NHCCI 1089.71 1091.92-2

4、.21-0.20%-3.40%9.92%-0.34 NHFMI 1018.61 1026.87-8.26-0.80%-5.27%19.57%-0.27 NHBMI 805.24 814.44-9.20-1.13%-6.23%14.39%-0.43 NHOOI 1125.45 1132.19-6.73-0.59%-4.58%14.60%-0.31 NHAECI 844.72 850.30-5.58-0.66%-4.35%9.47%-0.46 1VS Commodity Return vs Volatility 0.00%5.00%10.00%15.00%20.00%25.00%30.00%-4.

5、00%-3.00%-2.00%-1.00%0.00%1.00%2.00%3.00%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(202518)3 2 /|3 Proportion of Change in Position -10.00%-5.00%0.00%5.00%10.00%15.00%PTAPVCLPG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(202518)4 4 0.000.501.001.502.002.503.003.5014/9/2916/9/2918

6、/9/2920/9/2922/9/2924/9/29NHCINHPMINHIINHAI 0.000.501.001.502.002.503.003.504.004.5014/9/2916/9/2918/9/2920/9/2922/9/2924/9/29NHMINHECINHNFINHFI 5 0.700.800.901.001.101.201.301.4023/12/2724/2/2724/4/2724/6/2724/8/2724/10/2724/12/27NHCINHPMI