20160316-中国银河-分级基金周报_分级A隐含收益率小幅上升_15页_1mb

报告摘要

分级基金周报总结（160316）

核心内容

分级A隐含收益率：本周，剔除刚上市和成交量过小的分级A后，市场平均隐含收益率为 4.93%，较上周上升了 1个基点（bp）。
分级B杠杆与折溢价：分级B的杠杆情况较为复杂，不同基金的净值杠杆与价格杠杆存在差异，部分基金的杠杆水平较高。
整体折溢价：整体折溢价率在不同母基金中有所差异，部分基金折溢价率较高，存在套利机会。
下折风险提示：部分分级基金接近下折阈值，需关注下折触发对基金价值的影响。

主要观点

分级A隐含收益率

市场整体分级A的隐含收益率小幅上升，表明市场对分级A的预期收益有所提高。
平均隐含收益率为 4.93%，反映出市场对分级基金A的持有成本和预期回报。

分级B杠杆与折溢价

分级B的杠杆分为价格杠杆和净值杠杆，两者对基金价格变动的敏感度不同。
分级B的杠杆水平差异较大，例如 150013.SZ（中证100B）的净值杠杆为 1.66，而 150023.SZ（深成指B）的净值杠杆为 2.00，显示不同基金的杠杆策略存在差异。
折溢价情况显示，部分分级B的价格高于或低于净值，存在套利空间。

整体折溢价情况

母基金折溢价率在 1.84% 到 3.86% 之间，表明部分基金存在折价或溢价现象。
例如，502030.OF（中海中证高铁产业）折溢价率为 3.86%，而 502026.OF（鹏华新丝路）折溢价率为 1.97%，显示市场对某些基金的偏好。

临近下折的分级基金

部分分级基金的下折距离为负数，表明其已接近下折阈值。
例如，150095.SZ（泰信400B）的下折距离为 -34.98%，提示投资者需注意下折风险。

关键信息

分级A隐含收益率数据（截至2016-03-15）

A 代码	A 名称	A 净值	A 价格	隐含收益率	下折距离	下拆 A 理论收益率
150108.SZ	同辉100A	1.035	1.116	6.48%	-31.14%	8.07%
150106.SZ	中小A	1.034	1.159	6.22%	-32.91%	3.95%
150221.SZ	中航军A	1.013	1.170	5.62%	-28.16%	-7.33%
150331.SZ	网金融A	1.017	1.093	5.58%	-16.97%	-2.69%
150321.SZ	煤炭A基	1.018	1.188	5.56%	-35.96%	-8.32%
150289.SZ	煤炭A级	1.014	1.018	5.48%	-8.41%	1.69%
150297.SZ	互联A级	1.043	1.048	5.47%	-9.72%	1.49%
150323.SZ	环保A端	1.011	1.017	5.47%	-9.45%	1.46%
150247.SZ	传媒A级	1.011	1.018	5.46%	-16.12%	1.37%
150335.SZ	军工股A	1.014	1.022	5.46%	-18.56%	1.29%
150299.SZ	银行股A	1.014	1.022	5.45%	-15.30%	1.26%
150291.SZ	银行A份	1.014	1.023	5.45%	-17.71%	1.19%
150287.SZ	钢铁A	1.014	1.024	5.45%	-19.80%	1.09%
150117.SZ	房地产A	1.011	1.022	5.44%	-13.03%	0.97%
150198.SZ	食品A	1.011	1.034	5.37%	-11.26%	-0.20%
150130.SZ	医药A	1.011	1.034	5.37%	-13.10%	-0.20%
150293.SZ	高铁A级	1.035	1.061	5.36%	-34.06%	-0.50%
150196.SZ	有色A	1.011	1.039	5.35%	-34.52%	-0.68%
150263.SZ	1000A	1.014	1.042	5.35%	-14.94%	-0.68%
150190.SZ	NCF环保A	1.011	1.040	5.34%	-37.76%	-0.75%
150223.SZ	证券A级	1.015	1.142	5.32%	-34.99%	-0.51%
150301.SZ	证券股A	1.014	1.047	5.32%	-37.96%	-1.16%
150057.SZ	中小300A	1.007	1.097	5.32%	-44.61%	1.93%
150327.SZ	新能A级	1.007	1.043	5.31%	-39.79%	-1.43%
150303.SZ	创业股A	1.012	1.053	5.28%	-20.82%	-1.93%
150123.SZ	建信50A	1.012	1.149	5.28%	-44.87%	-7.88%
502001.SH	500等权A	1.010	0.991	5.10%	-26.66%	1.53%
150138.SZ	中证800A	1.014	0.995	5.10%	-31.75%	1.53%
150090.SZ	成长A	1.010	0.992	5.09%	-34.36%	1.45%
150167.SZ	银华300A	1.014	0.996	5.09%	-19.28%	1.42%
150064.SZ	同瑞A	1.010	0.992	5.09%	-41.99%	1.43%
150145.SZ	高贝塔A	1.012	0.994	5.09%	-12.12%	1.43%
150267.SZ	银行A类	1.014	0.997	5.09%	-22.19%	1.36%
150225.SZ	证保A级	1.014	0.997	5.09%	-36.63%	1.36%
150317.SZ	E金融A	1.007	1.088	5.09%	-38.08%	-5.49%
150094.SZ	泰信400A	1.010	0.993	5.09%	-10.00%	1.33%
150121.SZ	银河优先	1.010	0.993	5.09%	-39.31%	1.33%
150083.SZ	深证100A	1.010	1.000	5.05%	-29.65%	0.64%
150030.SZ	中证90A	1.010	1.000	5.05%	-34.98%	0.62%
150211.SZ	新能车A	1.012	1.003	5.05%	-19.62%	0.52%
150053.SZ	泰达500A	1.010	1.008	5.01%	-32.75%	-0.18%
150295.SZ	改革A	1.039	1.039	5.00%	-18.90%	-0.34%
150088.SZ	金鹰500A	1.010	1.010	5.00%	-35.15%	-0.36%
150150.SZ	创业板A	1.010	1.011	5.00%	-30.54%	-0.47%
150104.SZ	HS300A	1.010	1.014	4.98%	-39.52%	-0.74%
150096.SZ	商品A	1.010	1.034	4.88%	-27.08%	-2.69%
150135.SZ	国富100A	1.010	1.036	4.87%	-14.52%	-2.88%
150036.SZ	建信稳健	1.010	1.044	4.84%	-55.37%	-3.64%
150157.SZ	金融A	1.012	1.018	4.78%	-29.50%	-0.28%
502041.SH	上证50A	1.030	0.998	4.65%	-38.37%	0.35%
150245.SZ	互联A	1.026	0.994	4.65%	-35.16%	0.31%
150307.SZ	体育A	1.013	0.981	4.65%	-15.01%	0.32%
150018.SZ	银华稳进	1.009	0.977	4.65%	-24.88%	0.33%
150271.SZ	生物药A	1.011	0.979	4.65%	-31.47%	0.33%
150249.SZ	银行A端	1.011	0.979	4.65%	-22.35%	0.33%
150259.SZ	重组A	1.036	1.005	4.64%	-26.65%	0.23%
150255.SZ	银行业A	1.041	1.010	4.64%	-17.47%	0.21%
150257.SZ	生物A	1.036	1.005	4.64%	-32.30%	0.21%
150329.SZ	保险A	1.011	0.980	4.64%	-29.55%	0.22%
150241.SZ	银行A级	1.011	0.980	4.64%	-26.26%	0.22%
150227.SZ	银行A	1.017	0.986	4.64%	-21.30%	0.22%
150237.SZ	环保A级	1.023	0.992	4.64%	-32.36%	0.22%
150309.SZ	信息安A	1.013	0.982	4.64%	-28.40%	0.22%
150269.SZ	白酒A	1.011	0.980	4.64%	-17.26%	0.22%
150283.SZ	SW医药A	1.039	1.008	4.64%	-20.15%	0.17%
502004.SH	军工A	1.006	0.976	4.64%	-38.24%	0.16%
502007.SH	国企改A	1.029	0.999	4.64%	-23.71%	0.12%
150305.SZ	养老A	1.012	0.982	4.64%	-14.96%	0.12%
150051.SZ	沪深300A	1.006	0.976	4.64%	-39.44%	0.12%
150209.SZ	国企改A	1.011	0.981	4.64%	-19.58%	0.12%
150315.SZ	工业4A	1.013	0.983	4.64%	-29.12%	0.12%
150177.SZ	证保A	1.009	0.979	4.64%	-40.73%	0.12%
150179.SZ	信息A	1.009	0.979	4.64%	-37.80%	0.12%
150173.SZ	TMT中证A	1.011	0.981	4.64%	-18.54%	0.12%
150200.SZ	券商A	1.011	0.981	4.64%	-12.91%	0.12%
150231.SZ	电子A	1.010	0.980	4.64%	-29.04%	0.08%
502011.SH	证券A	1.007	0.977	4.64%	-40.47%	0.08%
150181.SZ	军工A	1.006	0.977	4.63%	-38.43%	0.02%
150205.SZ	国防A	1.014	0.985	4.63%	-9.20%	0.02%
150235.SZ	券商A级	1.008	0.979	4.63%	-29.09%	0.02%
150279.SZ	新能A	1.034	1.005	4.63%	-18.94%	0.01%
150229.SZ	酒A	1.013	0.984	4.63%	-13.14%	0.02%
150192.SZ	地产A	1.009	0.980	4.63%	-32.24%	0.02%
150233.SZ	传媒业A	1.036	1.007	4.63%	-23.07%	-0.01%
150186.SZ	环保A	1.036	1.007	4.63%	-25.07%	-0.01%
150184.SZ	军工A级	1.032	1.004	4.63%	-29.13%	-0.08%
150243.SZ	创业A	1.008	0.980	4.63%	-31.26%	-0.08%
150251.SZ	煤炭A	1.011	0.983	4.63%	-33.00%	-0.08%
502024.SH	钢铁A	1.030	1.004	4.62%	-25.41%	-0.29%
150207.SZ	地产A端	1.011	0.985	4.62%	-8.36%	-0.28%
150194.SZ	互联网A	1.011	0.986	4.62%	-8.89%	-0.39%
150217.SZ	新能源A	1.013	0.989	4.61%	-13.73%	-0.49%
150273.SZ	带路A	1.034	1.011	4.61%	-10.83%	-0.59%
150100.SZ	资源A	1.009	0.986	4.61%	-37.67%	-0.59%
150203.SZ	传媒A	1.002	0.979	4.61%	-40.38%	-0.59%
150277.SZ	高铁A	1.035	1.015	4.59%	-15.79%	-0.88%
150275.SZ	一带一A	1.011	0.992	4.59%	-11.07%	-0.99%
502027.SH	新丝路A	1.030	1.018	4.55%	-23.63%	-1.66%
150049.SZ	消费收益	1.000	1.034	4.55%	-39.94%	-4.84%
150215.SZ	TMTA	1.009	0.999	4.54%	-36.15%	-1.90%
502017.SH	带路A	1.011	1.007	4.52%	-34.46%	-2.46%
150171.SZ	证券A	1.000	0.999	4.50%	-38.82%	-2.77%
150076.SZ	浙商稳健	1.009	1.008	4.50%	-38.33%	-2.95%
150092.SZ	诺德300A	1.009	1.024	4.43%	-34.22%	-4.28%
502031.SH	高铁A	1.007	1.150	4.37%	-37.77%	-12.76%
150216.SZ	TMTB	0.963	0.974	2.05%	-20.15%	-0.39%
150328.SZ	新能B级	1.081	1.044	1.93%	-18.94%	-0.59%
150246.SZ	互联B	0.942	0.985	2.09%	-20.15%	-0.59%
150226.SZ	银行B	1.011	0.980	1.95%	-26.26%	-0.49%
502055.SH	券商B	1.047	1.072	1.98%	-20.15%	-0.59%
150075.SZ	诺安进取	1.100	1.136	1.61%	-15.37%	-0.49%
150056.SZ	500B	1.337	1.332	1.50%	-14.50%	-0.49%

分级B杠杆与折溢价数据（截至2016-03-15）

B 代码	B 名称	B 净值	B 价格	净值杠杆	价格杠杆	融资成本
150214.SZ	成长B级	0.331	0.335	4.05	4.00	6.70%
150282.SZ	金融地B	0.355	0.357	3.94	3.92	6.72%
150199.SZ	食品B	0.410	0.375	3.47	3.79	7.05%
150290.SZ	煤炭B级	0.366	0.368	3.77	3.75	7.13%
150298.SZ	互联B级	0.389	0.386	3.68	3.71	7.14%
150149.SZ	医药800B	0.388	0.379	3.61	3.69	6.34%
150324.SZ	环保B端	0.382	0.385	3.65	3.62	7.14%
150195.SZ	互联网B	0.373	0.388	3.71	3.57	6.33%
150131.SZ	医药B	0.440	0.408	3.30	3.56	7.09%
150332.SZ	网金融B	0.509	0.439	3.00	3.48	7.29%
150206.SZ	国防B	0.378	0.401	3.68	3.47	6.36%
150264.SZ	1000B	0.472	0.431	3.15	3.45	7.09%
150118.SZ	房地产B	0.439	0.423	3.30	3.43	7.17%
150274.SZ	带路B	0.406	0.424	3.55	3.40	6.34%
150276.SZ	一带一B	0.408	0.419	3.48	3.38	6.33%
150300.SZ	银行股B	0.478	0.462	3.12	3.23	7.24%
150136.SZ	国富100B	0.464	0.460	3.18