【南华期货】南华商品指数日报-250107（8页）.pdf

1、(202517)1 (202517)0.05%0.63%0.17%-0.61%-0.23%0.2%-0.98%-0.22%2.81%-3.06%1 Index Market Data Today Close Pre.Close Points%ARR An.Vol Sharpe Ratio NHCI 2478.37 2477.13 1.24 0.05%-2.67%12.75%-0.21 NHPMI 1033.95 1027.49 6.46 0.63%27.79%17.90%1.55 NHII 3730.17 3738.88-8.71-0.23%-7.63%14.08%-0.54 NHMI 618

2、1.91 6171.62 10.29 0.17%-7.77%15.82%-0.49 NHECI 1801.88 1812.91-11.03-0.61%-8.95%14.17%-0.63 NHNFI 1613.95 1604.25 9.71 0.61%3.48%14.23%0.24 NHFI 2560.03 2573.35-13.32-0.52%-23.74%22.68%-1.05 NHAI 1029.04 1031.83-2.79-0.27%-4.15%9.93%-0.42 Z0000505 0571-87839251 F03103098 0571-87839263 F03118352 057

3、1-87839263 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(202517)2 2 Today Close Pre.Close Points%ARR An.Vol Sharpe Ratio NHCIMi 1107.85 1112.70-4.85-0.44%-5.30%14.37%-0.37 NHEI 1132.20 1135.34-3.13-0.28%2.34%14.16%0.17 NHPCI 989.73 999.49-9.76-0.98%-1.65%9.37%-0.18 NHCCI 1091.92 1101.00-

4、9.07-0.82%-3.61%9.96%-0.36 NHFMI 1026.87 1033.80-6.93-0.67%-5.65%19.72%-0.29 NHBMI 814.44 818.48-4.04-0.49%-6.02%14.28%-0.42 NHOOI 1132.19 1134.66-2.47-0.22%-3.57%14.81%-0.24 NHAECI 850.30 848.64 1.66 0.20%-3.47%9.62%-0.36 1VS Commodity Return vs Volatility 0.00%5.00%10.00%15.00%20.00%25.00%30.00%35

5、.00%-4.00%-3.00%-2.00%-1.00%0.00%1.00%2.00%3.00%4.00%LPGPVCPTA 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(202517)3 2 /|3 Proportion of Change in Position -15.00%-10.00%-5.00%0.00%5.00%10.00%15.00%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(202517)4 4 0.000.501.001.502.002.503.003

6、.5014/9/2616/9/2618/9/2620/9/2622/9/2624/9/26NHCINHPMINHIINHAI 0.000.501.001.502.002.503.003.504.004.5014/9/2616/9/2618/9/2620/9/2622/9/2624/9/26NHMINHECINHNFINHFI 5 0.700.800.901.001.101.201.301.4023/12/2624/2/2624/4/2624/6/2624/8/2624/10/