20160224-中国银河-分级基金周报_超跌反弹多只分级B大涨_分级A隐含收益率下降_15页_1mb

报告摘要

分级基金周报（160224）总结

核心内容

超跌反弹：在1月28日至今的超跌反弹中，有27只分级B的反弹幅度超过30%，其中申万菱信深成指B涨幅最大，表现突出。
分级A隐含收益率变化：剔除刚上市和成交量过小的分级A后，当前分级A平均隐含收益率为4.90%，较上周下降2个基点（bp）。

主要观点

分级B表现：部分分级B在市场反弹中表现出色，体现出较高的杠杆效应，但也有部分分级B处于折价状态，需关注其杠杆与折溢价情况。
杠杆与折溢价：分级基金的杠杆分为价格杠杆和净值杠杆，分别反映分级B价格和净值对母基金净值的弹性。下折触发时，B份额的理论价值会受到A份额约定收益率和市场平均隐含收益率的影响。

关键信息

分级A隐含收益率走势

当前分级A平均隐含收益率为4.90%，较上周小幅下降2个bp。
永续分级A数据表中，各基金的隐含收益率及下折距离如下：

A 代码	A 名称	A 净值	A 价格	隐含收益率	下拆距离	下拆 A 理论收益率
150331.SZ	网金融 A	1.014	1.102	5.51%	-23.70%	-3.80%
150321.SZ	煤炭 A 基	1.015	1.194	5.51%	-38.71%	-9.03%
150343.SZ	证券 A 基	1.011	1.010	5.51%	-9.54%	2.20%
150289.SZ	煤炭 A 级	1.011	1.013	5.49%	-10.82%	1.89%
150323.SZ	环保 A 端	1.008	1.014	5.46%	-15.74%	1.45%
150297.SZ	互联 A 级	1.039	1.048	5.45%	-16.34%	1.16%
150299.SZ	银行股 A	1.011	1.020	5.45%	-12.29%	1.15%
150287.SZ	钢铁 A	1.011	1.021	5.45%	-21.19%	1.10%
150291.SZ	银行 A 份	1.011	1.021	5.45%	-14.91%	1.10%
150247.SZ	传媒 A 级	1.008	1.022	5.42%	-24.31%	0.66%
150221.SZ	中航军A	1.010	1.209	5.42%	-35.19%	-10.57%
150335.SZ	军工股A	1.011	1.029	5.40%	-25.30%	0.31%
150198.SZ	食品A	1.008	1.029	5.38%	-10.87%	-0.03%
150117.SZ	房地产A	1.008	1.031	5.37%	-17.16%	-0.22%
150123.SZ	建信50A	1.009	1.130	5.35%	-45.38%	-6.63%
150293.SZ	高铁A级	1.031	1.060	5.34%	-36.67%	-0.75%
150130.SZ	医药A	1.008	1.039	5.33%	-17.17%	-0.99%
150223.SZ	证券A级	1.011	1.143	5.30%	-36.31%	-0.95%
150301.SZ	证券股A	1.011	1.050	5.29%	-39.11%	-1.74%
150057.SZ	中小300A	1.004	1.104	5.27%	-48.30%	1.02%
150196.SZ	有色A	1.008	1.052	5.27%	-36.13%	-2.21%
150327.SZ	新能A级	1.004	1.051	5.25%	-43.66%	-2.47%
150190.SZ	NCF环保A	1.008	1.063	5.21%	-43.23%	-3.18%
502037.SH	网金A	1.004	1.060	5.21%	-43.19%	-3.29%
502057.SH	医疗A	1.004	1.060	5.21%	-43.62%	-3.30%
150303.SZ	创业股A	1.008	1.069	5.18%	-30.04%	-3.71%
150265.SZ	一带A	1.004	1.070	5.16%	-42.16%	-4.18%
150325.SZ	高铁A端	1.004	1.071	5.16%	-39.76%	-4.26%
150317.SZ	E金融A	1.004	1.078	5.12%	-43.21%	-4.90%
150112.SZ	深100A	1.038	1.018	5.10%	-45.48%	1.61%
502021.SH	国金50A	1.010	0.990	5.10%	-39.71%	1.64%
502001.SH	500等权A	1.007	0.987	5.10%	-31.91%	1.64%
150167.SZ	银华300A	1.011	0.991	5.10%	-20.09%	1.63%
150261.SZ	医疗A	1.004	1.082	5.10%	-42.22%	-5.27%
150140.SZ	国金300A	1.007	0.988	5.10%	-21.06%	1.58%
150145.SZ	高贝塔A	1.010	0.991	5.10%	-14.86%	1.53%
150213.SZ	成长A级	1.007	0.988	5.10%	-14.02%	1.54%
150094.SZ	泰信400A	1.007	0.988	5.10%	-44.55%	1.44%
150267.SZ	银行A类	1.012	0.995	5.08%	-19.34%	1.28%
150073.SZ	诺安稳健	1.007	0.991	5.08%	-51.85%	1.23%
150263.SZ	1000A	1.011	1.093	5.08%	-22.51%	-5.61%
150225.SZ	证保A级	1.012	0.996	5.08%	-37.17%	1.17%
150281.SZ	金融地A	1.040	1.025	5.08%	-7.06%	1.08%
502014.SH	一带一A	1.013	0.998	5.08%	-17.88%	1.12%
150090.SZ	成长A	1.007	0.993	5.07%	-39.89%	1.07%
150219.SZ	健康A	1.009	1.193	5.07%	-33.39%	-11.55%
150138.SZ	中证800A	1.011	0.998	5.07%	-35.33%	0.92%
150012.SZ	中证100A	1.186	1.177	5.05%	-52.01%	0.32%
150088.SZ	金鹰500A	1.007	1.003	5.02%	-39.10%	0.06%
150211.SZ	新能车A	1.009	1.007	5.01%	-24.97%	-0.18%
150030.SZ	中证90A	1.007	1.007	5.00%	-35.60%	-0.38%
502054.SH	券商A	1.029	1.030	5.00%	-34.34%	-0.48%
150104.SZ	HS300A	1.007	1.011	4.98%	-40.16%	-0.75%
150152.SZ	创业板A	1.007	1.017	4.95%	-37.90%	-1.36%
150135.SZ	国富100A	1.007	1.018	4.95%	-13.19%	-1.45%
502031.SH	高铁A	1.004	1.018	4.93%	-40.68%	-1.75%
150295.SZ	改革A	1.036	1.056	4.90%	-21.76%	-2.26%
150083.SZ	深证100A	1.007	1.028	4.90%	-33.47%	-2.37%
150085.SZ	中小板A	1.030	1.055	4.88%	-38.96%	-2.79%
150055.SZ	500A	1.007	1.038	4.85%	-57.20%	-3.33%
502041.SH	上50A	1.029	1.063	4.84%	-30.72%	-3.56%
150036.SZ	建信稳健	1.007	1.042	4.83%	-55.92%	-3.75%
150049.SZ	消费收益	1.045	1.029	4.78%	-37.63%	-0.02%
150096.SZ	商品A	1.007	1.065	4.73%	-29.78%	-5.80%
150157.SZ	金融A	1.009	1.010	4.70%	-24.43%	-1.96%
150305.SZ	养老A	1.009	0.970	4.68%	-19.50%	1.05%
150171.SZ	证券A	1.027	0.989	4.68%	-39.16%	0.93%
150209.SZ	国企改A	1.008	0.970	4.68%	-22.63%	0.95%
150205.SZ	国防A	1.012	0.974	4.68%	-19.10%	0.94%
150259.SZ	重组A	1.033	0.996	4.67%	-33.35%	0.83%
150194.SZ	互联网A	1.008	0.971	4.67%	-18.10%	0.85%
150220.SZ	券商A	1.009	0.972	4.67%	-14.70%	0.84%
150249.SZ	银行A端	1.009	0.972	4.67%	-19.40%	0.84%
150186.SZ	军工A级	1.029	0.993	4.67%	-35.65%	0.64%
150241.SZ	银行A级	1.008	0.972	4.67%	-23.20%	0.74%
150307.SZ	体育A	1.010	0.975	4.66%	-21.93%	0.64%
150315.SZ	工业4A	1.010	0.975	4.66%	-36.23%	0.62%
502024.SH	钢铁A	1.027	0.992	4.66%	-28.18%	0.60%
150257.SZ	生物A	1.033	0.998	4.66%	-38.76%	0.53%
150229.SZ	酒A	1.010	0.976	4.66%	-13.93%	0.53%
150177.SZ	证保A	1.007	0.973	4.66%	-41.21%	0.54%
150203.SZ	传媒A	1.012	0.978	4.66%	-14.61%	0.53%
150233.SZ	传媒业A	1.033	0.999	4.66%	-31.26%	0.49%
150283.SZ	SW医药A	1.036	1.002	4.66%	-24.23%	0.48%
150273.SZ	带路A	1.031	0.998	4.65%	-13.56%	0.41%
150269.SZ	白酒A	1.009	0.976	4.65%	-15.73%	0.43%
150148.SZ	医药800A	1.009	1.019	4.65%	-14.12%	-2.83%
502049.SH	上证50A	1.027	0.995	4.65%	-36.59%	0.34%
150255.SZ	银行业A	1.038	1.006	4.65%	-14.59%	0.31%
150179.SZ	信息A	1.007	0.975	4.65%	-42.66%	0.33%
150192.SZ	地产A	1.007	0.975	4.65%	-36.64%	0.33%
150275.SZ	一带一A	1.008	0.977	4.64%	-14.07%	0.23%
150235.SZ	券商A级	1.006	0.975	4.64%	-30.53%	0.23%
502027.SH	新丝路A	1.027	0.996	4.64%	-28.50%	0.21%
150059.SZ	资源A级	1.007	1.084	4.64%	-45.21%	-7.45%
150277.SZ	高铁A	1.032	1.002	4.64%	-19.27%	0.11%
150311.SZ	智能A	1.010	0.980	4.64%	-37.31%	0.12%
150243.SZ	创业A	1.005	0.975	4.64%	-38.60%	0.13%
150207.SZ	地产A端	1.009	0.979	4.64%	-11.96%	0.12%
150271.SZ	生物药A	1.009	0.979	4.64%	-37.11%	0.12%
502004.SH	军工A	1.003	0.974	4.64%	-44.29%	0.06%
150181.SZ	军工A	1.003	0.975	4.63%	-44.11%	-0.08%
150217.SZ	新能源A	1.010	0.982	4.63%	-18.92%	-0.08%
150051.SZ	沪深300A	1.003	0.975	4.63%	-40.16%	-0.08%
150028.SZ	中证500A	1.002	1.020	4.62%	-51.26%	-3.60%
150237.SZ	环保A级	1.021	0.996	4.62%	-37.20%	-0.39%
502011.SH	证券A	1.004	0.980	4.61%	-41.67%	-0.52%
150231.SZ	电子A	1.007	0.986	4.59%	-35.53%	-0.83%
502017.SH	带路A	1.008	0.990	4.58%	-36.34%	-1.09%
150076.SZ	浙商稳健	1.007	0.991	4.57%	-38.84%	-1.48%
150100.SZ	资源A	1.007	0.999	4.54%	-39.04%	-2.08%
150251.SZ	煤炭A	1.009	1.006	4.51%	-35.70%	-2.56%
150150.SZ	有色800A	1.009	1.056	4.49%	-32.31%	-6.23%
150092.SZ	诺德300A	1.007	1.036	4.37%	-37.21%	-5.58%
150215.SZ	TMTA	1.006	1.068	4.24%	-42.77%	-8.48%

分级B杠杆与折溢价

杠杆情况：各分级B的净值杠杆和价格杠杆差异较大，部分B份额杠杆较高，如深成指B的净值杠杆为5.95，价格杠杆为2.82。
折溢价情况：部分分级B处于折价状态，如网金融B的净值为0.643，价格为0.554，折价率较高。

B 代码	B 名称	B 净值	B 价格	净值杠杆	价格杠杆	融资成本
150282.SZ	金融地 B	0.348	0.357	3.99	3.89	6.73%
150199.SZ	食品 B	0.403	0.371	3.50	3.80	7.06%
150344.SZ	证券 B 基	0.383	0.390	3.64	3.57	7.19%
150290.SZ	煤炭 B 级	0.403	0.397	3.51	3.56	7.19%
150300.SZ	银行股 B	0.427	0.414	3.37	3.47	7.17%
150136.SZ	国富 100B	0.441	0.418	3.28	3.46	6.68%
150149.SZ	医药 800B	0.457	0.439	3.21	3.34	6.41%
150208.SZ	地产 B 端	0.421	0.441	3.40	3.24	6.42%
150131.SZ	医药 B	0.511	0.470	2.97	3.23	7.12%
150292.SZ	银行 B 份	0.471	0.459	3.15	3.23	7.22%
150324.SZ	环保 B 端	0.485	0.478	3.08	3.12	7.26%
150298.SZ	互联 B 级	0.502	0.494	3.07	3.12	7.25%
150264.SZ	1000B	0.616	0.530	2.64	3.07	6.90%
150214.SZ	成长 B 级	0.456	0.477	3.21	3.06	6.90%
150230.SZ	酒 B	0.454