20230609-国盛证券-量化分析报告_一键布局美股BigTech——景顺长城纳斯达克科技市值加权基金投资价值分析_17页_1mb.pdf

|2023 06 09 Big Tech 1 Calmar 2 NDXTMC Index 100 RAI0.5 RAI 4 0.3 3 EPS EPS 4 ETF QDII(:NDXTMC.GI)1 A 017091 C 017093 2022 12 9 QDII 2 2023 5 31 170 3526 ETF S0680518100004 S0680518030007 S0680122060011 1 2023-06-05 2 2023-06-04 3 2023-06-04 4 2023-06-03 5 2020 2023-05-30 2023 06 09 P.2.3 1.1.3 1.2.4 1.3.5 1.4.5.10 2.1.10 2.2.11 2.3.12.14 3.1.14 3.2.14.16 1.3 2 2022/11/1-2023/5/31.3 3 2022/11/1-2023/5/31.4 4 RAI MA5D.4 5.4 6 EPS MA5D.5 7 ETF.6 8 ETF.6 9 QDII.6 10 QDII.6 11 QDII.7 12 QDII.7 13 ETF VS.7 14 QDII VS.8 15.8 16 2023/5/31.9 17 2010/1/1-2023/5/31.9 18.10 19 2023/5/31.11 20 GICS.12 21 GICS.12 22.12 23.12 24 2010/1/1-2023/5/31.13 25 2010/1/1-2023/5/31.13 26.14 27 2023/5/31.15 28 ETF 2023/5/31.15 2023 06 09 P.3/A 017091 C 017093 1.1 500 100 100 1 NDXTMC.GI NDX.GI S5INFT.SPI 100 500 2022/3/21 1985/2/1 1996/6/28 100 100 500 Wind 2022 11 1 2023 5 31 100.50%500 100 Calmar 500 5.08 100 4.14 2 2022/11/1-2023/5/31 Wind 0.80.911.11.21.31.41.51.6 100 500 2023 06 09 P.4 3 2022/11/1-2023/5/31 100 500()100.50%47.06%55.83%()29.25%21.59%22.25%Calmar 8.61 4.14 5.08 Wind 1.2 NDXTMC Index 100 Citi RAI Index 6 CDS 4 5 RAI 5 2010 RAI*12 RAI0.5 RAI 4 0.3 4 RAI MA5D 5 Bloomberg Bloomberg 00.20.40.60.81400600800100012002020 2021 2022 2023NDXTMC Citi RAI Index31.3%26.1%5.7%-7.2%-10%0%10%20%30%40%0,0.3)0.3,0.5)0.5,0.7)0.7,1NDXTMCRAI 2023 06 09 P.5 1.3 EPS EPS EPS=EPS EPS 100%EPS 60 0 EPS 60 0 EPS 0 6 EPS 4 EPS 40%6 EPS MA5D Bloomberg 1.4 1 ETF QDII ETF 2023 1 ETF 76 40 19 5 52.6%25.0%6.6%ETF 1629.4 506.6 5.4 69.5%21.6%0.2%ETF-60%-40%-20%0%20%40%60%80%6007008009001000110012002022/2 2022/4 2022/6 2022/8 2022/10 2022/12 2023/2 2023/4NDXTMC EPS 修正 2023 06 09 P.6 7 ETF 8 ETF Wind Wind QDII ETF 2023 1 QDII 397 115 100 36 29.0%25.2%9.1%QDII 2720.8 1771.7 692.1 183.6 65.1%25.4%6.7%9 QDII 10 QDII Wind Wind QDII ETF QDII+QDII 1838.8 542.8 339.2 67.6%19.9%12.5%768.8 721.7 423.5 28.3%26.5%15.6%0%10%20%30%40%50%60%051015202530354045 0%10%20%30%40%50%60%70%80%020040060080010001200140016001800 0%5%10%15%20%25%30%35%40%020406080100120()()0%10%20%30%40%50%60%70%0200400600800100012001400160018002000()2023 06 09 P.7 11 QDII 12 QDII Wind Wind 2 ETF ETF ETF 23.03%6.67%3.14%2.81%1.55%13 ETF VS Wind QDII QDII QDII QDII 19.19%6.77%3.95%0%10%20%30%40%50%60%70%80%0200400600800100012001400160018002000 QDII 0510152025300100200300400500600700800900()(%)23.03%6.67%3.14%2.81%1.55%0%5%10%15%20%25%0%5%10%15%20%25%30%35%40%45%50%2021 ETF()2023 06 09 P.8 14 QDII VS Wind 3 ETF QDII 500 15 Wind 19.19%6.77%3.95%3.24%2.86%2.69%2.25%1.72%1.52%1.42%0%5%10%15%20%25%0%5%10%15%20%25%30%35%40%45%2021 QDII()051015202530 2021 GDP(%)2023 06 09 P.9 16 2023/5/31 17 2010/1/1-2023/5/31 Wind Wind EPS EPS ETF QDII 02468101214 10(%)050100150200250300350400450 500 SENSEX30 225 DAX CAC40 IBOVESPA 200:2010(%)2023 06 09 P.10 2.1(:NDXTMC.GI)NASDAQ-100 TECHNOLOGY SECTOR MARKET-CAP WEIGHTED INDEX 2022 3 21 2022 3 21 1000 100:100 100 100 100 ICB:100 2 5 8 11 10%1 100 2 1 100 ICB 100 ICB 2 100 ICB ICB 3 100 ICB ICB 3 100 18 NDXTMC.GI NASDAQ-100 TECHNOLOGY SECTOR MARKET-CAP WEIGHTED INDEX 1000 2022/3/21 2022/3/21 100 100 Wind 2023 06 09 P.11 2023/3/17 10%10%Alphabet 5%100%2023/5/31 2.2 2023 5 31 71.70%7 3 Meta 8050 5892 5509 19 2023/5/31()()GICS GICS()NVDA 14.94%8050 Information Technology META Meta 11.08%5892 Communication Services MSFT 9.86%5509 Information Technology AAPL 9.60%5107 Information Technology AVGO 5.40%3369 Information Technology GOOGL Alphabet 5.07%2568 Communication Services GOOG Alphabet 5.05%2584 Communication Services ASML 4.57%635 Information Technology ADBE 3.07%1913 Information Technology AMD AMD 3.05%1905 Information Technology Bloomberg GICS 3 GICS 77.47%21.21%1.32%GICS 5 44.06%23.81%21.21%9.60%1.32%2023 06 09 P.12 20 GICS 21 GICS Bloomberg 2023/5/31 Bloomberg 2023/5/31 2023 5 31 5 1000 77.45%200 0.32%22 23 Bloomberg 2023/5/31 Bloomberg 2023/5/31 2.3 2023 5 31 2010 16.60%500 10.35%77.47%21.21%1.32%44.06%23.81%21.21%9.60%1.32%77.45%13.53%8.39%0.32%1000 500-1000 200-500 100-200 38.89%25.00%33.33%2.78%1000 500-1000 200-500 100-200 2023 06 09 P.13 24 2010/1/1-2023/5/31 Wind 25 2010/1/1-2023/5/31 Wind 0123456789102010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 500指数简称 区间收益(年化)区间波动(年化)收益风险比纳斯达克科技市值加权 16.60%21.43%0.77纳斯达克指数 13.85%18.92%0.73标普500 10.35%16.57%0.62 2023 06 09 P.14 3.1 A 017091 C 017093(QDII)2022 12 9 26 A 017091 C 017093 NDXTMC.GI 2022/12/09 80%80%10%5%()*95%+()*5%0.80%/0.25%/Wind 3.2 QDII 2009 51.12 7 CFA FRM 2020 2 96.07 6 2003 6 12 2023 06 09 P.15()49%1.3 2023 5 31 170 3526(QDII)4(QDII)20 27 2023/5/31 Wind ETF 2023 5 31 10 ETF 28 ETF 2023/5/31()513980 50ETF 2021-06-21 29.63 159682 50ETF,2022-12-23 13.92 515100 100ETF,2020-05-22 6.99 159610 500ETF,2021-12-13 5.02 512220 TMTETF 2014-07-18 4.61 159757 30ETF,2021-07-21 4.96 513970 ETF,2023-04-12 4.84 512280 MSCIA ETF 2018-04-27 0.62 159935 500ETF 2013-12-26 0.57 159733 50ETF 2021-09-15 0.32 Wind 0102030405060708090020040060080010001200140016001800()()2023 06 09 P.16 2023 06 09 P.17“”,“”“”6 A 300 500 15%5%15%-5%+5%5%10%-10%+10%10%26 3 100032 010-57671718 868 One56 1 10 200120 021-38124100 1115 330038 0791-86281485 100 24 518033