2022年年末指數(shù)樣本股調(diào)整預(yù)測效果暨沖擊效應(yīng)分析：中證500調(diào)整組合高沖擊個股占比較高

證券研究報告請務(wù)必閱讀正文之后第證券研究報告請務(wù)必閱讀正文之后第11頁起的免責(zé)條款和聲明分析師S1010517110001王兆宇師S1010514080008趙文榮量化與配置首席分析師S1010512070002劉方師S1010513080004

體來看，近期市場小盤股流動性下降較多，中證500調(diào)整組合高沖擊個股占比較高。▍預(yù)測效果分析：上證50預(yù)測準(zhǔn)確率較高。（1）300指數(shù)預(yù)測準(zhǔn)確率500指數(shù)預(yù)測準(zhǔn)確率50指數(shù)預(yù)測準(zhǔn)確率為90%；（2）從歷史預(yù)測效果來看，滬深300預(yù)測準(zhǔn)確率一般都高于85%，此次滬深300調(diào)整預(yù)測失誤名單主要集中在調(diào)入個股。據(jù)此推測，滬深300調(diào)入個股主觀調(diào)整可能性較高。▍沖擊效應(yīng)測算：上證50調(diào)整組合高沖擊個股占比較高。（1）模型測算顯50指數(shù)調(diào)入調(diào)出個股的沖擊系數(shù)在13只；（2）滬300指數(shù)調(diào)入調(diào)出個股的沖擊系數(shù)在16只；（3）500指數(shù)調(diào)入調(diào)出個股的沖擊系數(shù)在1倍以上有45只。▍結(jié)論：回避利空個股，把握調(diào)整價差機(jī)會。（1）本次樣本股調(diào)整中滬深300、中證500具備一定的事件型機(jī)會或風(fēng)險點：相對看好各指數(shù)調(diào)入組合中買入沖擊較高的個股；相對看空各指數(shù)調(diào)出組合中賣出沖擊系數(shù)較高的個股；總體來看，預(yù)計調(diào)出組合的負(fù)向沖擊或?qū)⒋笥谡{(diào)入組合的正向沖擊；如組合中已持有上述相對利空的個股，可考慮在指數(shù)調(diào)整實施的5日內(nèi)適當(dāng)減倉，并在調(diào)整實施后5日左右補倉，以回避短期負(fù)向沖擊風(fēng)險；（3）短線交易產(chǎn)品、指數(shù)增強(qiáng)產(chǎn)品可通過買入上述相對看多股票來增強(qiáng)收益，交易時段同樣為調(diào)整實施日前后5個交易日以內(nèi)。▍風(fēng)險因素：市場與個股流動性急劇變化；調(diào)整沖擊的量化規(guī)律發(fā)生變化；資金大幅流入流出市場；實際調(diào)倉行為與成分股調(diào)整實施日期的偏差。中證中證500調(diào)整組合高沖擊個股占比較高2022年年末指數(shù)樣本股調(diào)整預(yù)測效果暨沖擊效應(yīng)分析｜2022.12.9中信證券研究部核心觀點從今年11月發(fā)布的報告的預(yù)測結(jié)果來看，滬深300指數(shù)預(yù)測準(zhǔn)確率為76%，中證500指數(shù)預(yù)測準(zhǔn)確率82%，上證50指數(shù)預(yù)測準(zhǔn)確率為90%。整體來看，近期市場小盤股流動性下降較多，中證500調(diào)整組合高沖擊個股占比較高。顧晟曦組合配置聯(lián)席首席▍投資聚焦：（1）20221125日，中證指數(shù)公司發(fā)布了上證和中證系2022年年末樣本股的調(diào)整方案，本次調(diào)整將于1212日正式生效；本文對調(diào)整股票的價格沖擊程度進(jìn)行了估算，并考慮了個股在重點基準(zhǔn)指數(shù)（50300500）間的交叉調(diào)整因素；整PAGE10請務(wù)必閱讀正文之后的免責(zé)條款和聲明PAGE10請務(wù)必閱讀正文之后的免責(zé)條款和聲明目錄投資聚焦 3預(yù)測效果分析：上證50預(yù)測準(zhǔn)確率較高 3沖擊效應(yīng)測算：中證500調(diào)整組合高沖擊個股占比較高 4表格目錄表1：中證、上證主要寬基指數(shù)預(yù)測效果統(tǒng)計 3表2：上證50指數(shù)樣本股調(diào)整預(yù)測失誤名單 4表3：滬深300指數(shù)樣本股調(diào)整預(yù)測失誤名單 4表4：中證500指數(shù)樣本股調(diào)整預(yù)測失誤名單 4表5：上證50指數(shù)、滬深300指數(shù)和中證500指數(shù)樣本股調(diào)整高沖擊個股匯總 5表6：上證50指數(shù)樣本股調(diào)整組合沖擊程度估算 6表7：滬深300指數(shù)樣本股調(diào)整組合沖擊程度估算 6表8：中證500指數(shù)樣本股調(diào)整組合沖擊程度估算 7▍投資聚焦2022252022年年末樣本股的1212沖擊系數(shù)=個股凈調(diào)整金額/近1個月日均成交金額（上證50300A300的被動型30005002000A1000萬。▍預(yù)測效果分析：上證50預(yù)測準(zhǔn)確率較高滬深300和中證500預(yù)測準(zhǔn)確度維持較高水平。我們在2022年11月發(fā)布的報告：《202250030030076%50082%50預(yù)測準(zhǔn)確率為90%。詳情請見表1至表4。滬深300市場獲得的基礎(chǔ)排序數(shù)據(jù)源于交易所提供的30085%300調(diào)整預(yù)測失誤名單主要集中在調(diào)入個股。據(jù)此推測，滬深300調(diào)入個股主觀調(diào)整可能性較高。表1：中證、上證主要寬基指數(shù)預(yù)測效果統(tǒng)計指數(shù)名稱預(yù)測數(shù)量實際數(shù)量調(diào)入正確數(shù)調(diào)出正確數(shù)準(zhǔn)確率上證50554590%滬深300141581476%中證5005050414182%資料來源：中證指數(shù)有限公司，中信證券研究部表2：上證50指數(shù)樣本股調(diào)整預(yù)測失誤名單實際調(diào)整 預(yù)測調(diào)整方向股票代碼股票簡稱股票代碼股票簡稱調(diào)入603260.SH合盛硅業(yè)方向股票代碼股票簡稱股票代碼股票簡稱調(diào)入603260.SH合盛硅業(yè)600703.SH三安光電方向股票代碼股票簡稱股票代碼股票簡稱600803.SH新奧股份600256.SH廣匯能源002756.SZ永興材料600702.SH舍得酒業(yè)000723.SZ美錦能源600703.SH三安光電調(diào)入300769.SZ德方納米600522.SH中天科技600674.SH川投能源601727.SH上海電氣688187.SH時代電氣601127.SH賽力斯600039.SH四川路橋調(diào)出002607.SZ中公教育實際調(diào)整 預(yù)測調(diào)整資料來源：中證指數(shù)有限公司，中信證券研究部表4：中證500指數(shù)樣本股調(diào)整預(yù)測失誤名單實際調(diào)整 預(yù)測調(diào)整方向股票代碼股票簡稱股票代碼股票簡稱301029.SZ怡合達(dá)002176.SZ江特電機(jī)000591.SZ太陽能600004.SH白云機(jī)場002531.SZ天順風(fēng)能000066.SZ中國長城600032.SH浙江新能601933.SH永輝超市調(diào)入300776.SZ帝爾激光002791.SZ堅朗五金600873.SH梅花生物002405.SZ四維圖新601158.SH重慶水務(wù)600733.SH北汽藍(lán)谷300604.SZ長川科技600515.SH海南機(jī)場601666.SH平煤股份600779.SH水井坊000686.SZ東北證券600928.SH西安銀行002240.SZ盛新鋰能000785.SZ居然之家000718.SZ蘇寧環(huán)球002653.SZ海思科002004.SZ華邦健康600377.SH寧滬高速調(diào)出601200.SH上海環(huán)境689009.SH九號公司-WD600717.SH天津港603638.SH艾迪精密600037.SH歌華有線002423.SZ中糧資本600120.SH浙江東方001872.SZ招商港口000528.SZ柳工601568.SH北元集團(tuán)資料來源：中證指數(shù)有限公司，中信證券研究部沖擊效應(yīng)測算：中證500調(diào)整組合高沖擊個股占比較高202230日，A股全市503005008972063億元、1274億元1。1統(tǒng)計范圍包括普通指數(shù)基金、ETF、增強(qiáng)型指數(shù)基金。另外，基金份額數(shù)據(jù)取自Wind資訊，對于僅公布季報數(shù)據(jù)的基金，份額數(shù)據(jù)取自2022年3季報，對于每日公布份額數(shù)據(jù)的基金，份額數(shù)據(jù)取自2022年11月30日的數(shù)據(jù)。501330016500指數(shù)調(diào)入調(diào)出個股的沖擊系數(shù)145500調(diào)整組合高沖擊個股占比較高。表5：上證50指數(shù)、滬深300指數(shù)和中證500指數(shù)樣本股調(diào)整高沖擊個股匯總（萬）成交額（萬）（萬）成交額（萬）中證500調(diào)入688538.SH和輝光電-U0.166%0.166%21,1256,1183.45中證500調(diào)入600378.SH昊華科技0.169%0.169%21,5218,0852.66中證500調(diào)入601233.SH桐昆股份0.356%0.356%45,41220,4612.22滬深300調(diào)出600655.SH豫園股份0.000%-0.063%13,8906,5182.13中證500調(diào)入600655.SH豫園股份0.211%0.211%13,8906,5182.13中證500調(diào)入601158.SH重慶水務(wù)0.045%0.045%5,7972,9491.97中證500調(diào)入688116.SH天奈科技0.338%0.338%43,06022,6261.90上證50調(diào)入600406.SH國電南瑞1.301%1.301%111,39758,9841.89中證500調(diào)入688301.SH奕瑞科技0.245%0.245%31,21618,4541.69中證500調(diào)入600873.SH梅花生物0.307%0.307%39,18624,7071.59中證500調(diào)入002340.SZ格林美0.624%0.624%79,47550,7721.57滬深300調(diào)入600803.SH新奧股份0.091%0.091%18,75212,3401.52中證500調(diào)入688690.SH納微科技0.176%0.176%22,45014,8421.51滬深300調(diào)出600352.SH浙江龍盛0.000%-0.141%19,18713,0241.47中證500調(diào)入600352.SH浙江龍盛0.379%0.379%19,18713,0241.47中證500調(diào)入301029.SZ怡合達(dá)0.144%0.144%18,31912,4611.47中證500調(diào)入601231.SH環(huán)旭電子0.175%0.175%22,25516,1341.38滬深300調(diào)入600674.SH川投能源0.084%0.084%17,26412,5511.38中證500調(diào)入688567.SH孚能科技0.290%0.290%36,89628,0981.31中證500調(diào)入300682.SZ朗新科技0.205%0.205%26,18821,2151.23中證500調(diào)入603737.SH三棵樹0.270%0.270%34,43828,5701.21中證500調(diào)入603816.SH顧家家居0.265%0.265%33,70928,4051.19中證500調(diào)入000591.SZ太陽能0.261%0.261%33,31429,7551.12中證500調(diào)入000683.SZ遠(yuǎn)興能源0.307%0.307%39,08937,1851.05中證500調(diào)入603893.SH瑞芯微0.192%0.192%24,48924,4451.00中證500調(diào)出000690.SZ寶新能源0.000%-0.226%-28,80126,140-1.10滬深300調(diào)入600039.SH四川路橋0.089%0.089%-27,25123,284-1.17中證500調(diào)出600039.SH四川路橋0.000%-0.358%-27,25123,284-1.17中證500調(diào)出000718.SZ蘇寧環(huán)球0.000%-0.085%-10,8328,472-1.28滬深300調(diào)出601916.SH浙商銀行0.000%-0.137%-28,27121,664-1.30中證500調(diào)出002004.SZ華邦健康0.000%-0.138%-17,58613,451-1.31中證500調(diào)出002815.SZ崇達(dá)技術(shù)0.000%-0.059%-7,5195,708-1.32中證500調(diào)出600811.SH東方集團(tuán)0.000%-0.108%-13,76310,395-1.32中證500調(diào)出600823.SH世茂股份0.000%-0.054%-6,8824,877-1.41中證500調(diào)出601003.SH柳鋼股份0.000%-0.029%-3,6962,435-1.52中證500調(diào)出601860.SH紫金銀行0.000%-0.128%-16,31210,330-1.58中證500調(diào)出600835.SH上海機(jī)電0.000%-0.062%-7,9014,688-1.69中證500調(diào)出000686.SZ東北證券0.000%-0.157%-20,00710,598-1.89中證500調(diào)出600037.SH歌華有線0.000%-0.132%-16,8228,810-1.91中證500調(diào)出600120.SH浙江東方0.000%-0.102%-12,9986,648-1.96中證500調(diào)出000717.SZ中南股份0.000%-0.059%-7,5193,788-1.98中證500調(diào)出688321.SH微芯生物0.000%-0.112%-14,2736,660-2.14中證500調(diào)出002387.SZ維信諾0.000%-0.093%-11,8525,405-2.19中證500調(diào)出600717.SH天津港0.000%-0.097%-12,3615,328-2.32中證500調(diào)出603515.SH歐普照明0.000%-0.039%-4,9702,070-2.40上證50調(diào)出601211.SH國泰君安0.000%-0.970%-91,63736,728-2.50

凈調(diào)整金額

近一月日均

沖擊系數(shù)（萬）成交額（萬）中證（萬）成交額（萬）中證500調(diào)出000488.SZ晨鳴紙業(yè)0.000%-0.099%-12,6165,014-2.52中證500調(diào)出601200.SH上海環(huán)境0.000%-0.099%-12,6164,394-2.87中證500調(diào)出000528.SZ柳工0.000%-0.097%-12,3613,981-3.11中證500調(diào)出000685.SZ中山公用0.000%-0.101%-12,8713,782-3.40中證500調(diào)出001965.SZ招商公路0.000%-0.108%-13,7633,755-3.67中證500調(diào)出002233.SZ塔牌集團(tuán)0.000%-0.101%-12,8713,506-3.67中證500調(diào)出600236.SH桂冠電力0.000%-0.233%-29,6938,071-3.68上證50調(diào)出600837.SH海通證券0.000%-1.327%-128,96531,948-4.04

凈調(diào)整金額

近一月日均

沖擊系數(shù)操作代碼名稱權(quán)重權(quán)重變動凈調(diào)整金額（萬）近一月日均成交額（萬）操作代碼名稱權(quán)重權(quán)重變動凈調(diào)整金額（萬）近一月日均成交額（萬）沖擊系數(shù)調(diào)入600406.SH國電南瑞1.301%1.301%111,39758,9841.89調(diào)入688599.SH天合光能1.024%1.024%87,803105,1540.83調(diào)入601669.SH中國電建0.847%0.847%71,79992,4880.78調(diào)入601225.SH陜西煤業(yè)1.144%1.144%98,102134,1040.73調(diào)入603260.SH合盛硅業(yè)0.281%0.281%24,15466,3840.36調(diào)出601728.SH中國電信0.000%-0.363%5,02348,7720.10調(diào)出600588.SH用友網(wǎng)絡(luò)0.000%-0.605%-48,048125,601-0.38調(diào)出600570.SH恒生電子0.000%-0.934%-87,42188,398-0.99調(diào)出601211.SH國泰君安0.000%-0.970%-91,63736,728-2.50調(diào)出600837.SH海通證券0.000%-1.327%-128,96531,948-4.04操作代碼名稱權(quán)重權(quán)重變動凈調(diào)整金額（萬）操作代碼名稱權(quán)重權(quán)重變動凈調(diào)整金額（萬）近一月日均成交額（萬）沖擊系數(shù)調(diào)入600803.SH新奧股份0.091%0.091%18,75212,3401.52調(diào)入600674.SH川投能源0.084%0.084%17,26412,5511.38調(diào)入000733.SZ振華科技0.218%0.218%44,90561,2760.73調(diào)入000723.SZ美錦能源0.134%0.134%27,67441,1330.67調(diào)入601689.SH拓普集團(tuán)0.156%0.156%32,26562,6270.52調(diào)入600884.SH杉杉股份0.114%0.114%23,50350,5560.46調(diào)入688187.SH時代電氣0.062%0.062%12,82128,0670.46調(diào)入688303.SH大全能源0.083%0.083%17,20349,1970.35調(diào)入605117.SH德業(yè)股份0.182%0.182%-15,13392,564-0.16調(diào)入002756.SZ永興材料0.115%0.115%-19,65696,528-0.20調(diào)入300769.SZ德方納米0.145%0.145%-17,95365,673-0.27調(diào)入601615.SH明陽智能0.224%0.224%-39,589133,483-0.30調(diào)入002180.SZ納思達(dá)0.241%0.241%-27,69651,442-0.54調(diào)入600233.SH圓通速遞0.176%0.176%-17,80028,321-0.63調(diào)入600039.SH四川路橋0.089%0.089%-27,25123,284-1.17調(diào)出600655.SH豫園股份0.000%-0.063%13,8906,5182.13調(diào)出600352.SH浙江龍盛0.000%-0.141%19,18713,0241.47調(diào)出000703.SZ恒逸石化0.000%-0.087%11,99615,8710.76調(diào)出603160.SH匯頂科技0.000%-0.066%13,53419,0490.71調(diào)出600489.SH中金黃金0.000%-0.130%17,74028,3660.63調(diào)出300866.SZ安克創(chuàng)新0.000%-0.052%7,22013,7560.52調(diào)出300003.SZ樂普醫(yī)療0.000%-0.159%24,18052,0560.46調(diào)出600161.SH天壇生物0.000%-0.101%13,84233,9090.41調(diào)出002568.SZ百潤股份0.000%-0.106%14,31839,7300.36調(diào)出002607.SZ中公教育0.000%-0.051%-10,52467,575-0.16調(diào)出000066.SZ中國長城0.000%-0.128%-26,414131,530-0.20調(diào)出002791.SZ堅朗五金0.000%-0.074%-15,27041,953-0.36調(diào)出603087.SH甘李藥業(yè)0.000%-0.042%-8,66723,016-0.38操作代碼名稱權(quán)重權(quán)重變動凈調(diào)整金額（萬）近一月日均成交額（萬）沖擊系數(shù)調(diào)出601825.SH滬農(nóng)商行0.000%-0.032%-6,60312,998-0.51調(diào)出601916.SH浙商銀行0.000%-0.137%-28,27121,664-1.30操作代碼名稱權(quán)重權(quán)重變動凈調(diào)整金額（萬）操作代碼名稱權(quán)重權(quán)重變動凈調(diào)整金額（萬）近一月日均成交額（萬）沖擊系數(shù)調(diào)入688538.SH和輝光電-U0.166%0.166%21,1256,1183.45調(diào)入600378.SH昊華科技0.169%0.169%21,5218,0852.66調(diào)入601233.SH桐昆股份0.356%0.356%45,41220,4612.22調(diào)入600655.SH豫園股份0.211%0.211%13,8906,5182.13調(diào)入601158.SH重慶水務(wù)0.045%0.045%5,7972,9491.97調(diào)入688116.SH天奈科技0.338%0.338%43,06022,6261.90調(diào)入688301.SH奕瑞科技0.245%0.245%31,21618,4541.69調(diào)入600873.SH梅花生物0.307%0.307%39,18624,7071.59調(diào)入002340.SZ格林美0.624%0.624%79,47550,7721.57調(diào)入688690.SH納微科技0.176%0.176%22,45014,8421.51調(diào)入600352.SH浙江龍盛0.379%0.379%19,18713,0241.47調(diào)入301029.SZ怡合達(dá)0.144%0.144%18,31912,4611.47調(diào)入601231.SH環(huán)旭電子0.175%0.175%22,25516,1341.38調(diào)入688567.SH孚能科技0.290%0.290%36,89628,0981.31調(diào)入300682.SZ朗新科技0.205%0.205%26,18821,2151.23調(diào)入603737.SH三棵樹0.270%0.270%34,43828,5701.21調(diào)入603816.SH顧家家居0.265%0.265%33,70928,4051.19調(diào)入000591.SZ太陽能0.261%0.261%33,31429,7551.12調(diào)入000683.SZ遠(yuǎn)興能源0.307%0.307%39,08937,1851.05調(diào)入603893.SH瑞芯微0.192%0.192%24,48924,4451.00調(diào)入603606.SH東方電纜0.509%0.509%64,86472,8290.89調(diào)入603596.SH伯特利0.311%0.311%39,65445,1190.88調(diào)入300861.SZ美暢股份0.159%0.159%20,30723,7510.85調(diào)入688779.SH長遠(yuǎn)鋰科0.187%0.187%23,84028,4670.84調(diào)入688772.SH珠海冠宇0.225%0.225%28,64334,4630.83調(diào)入603688.SH石英股份0.335%0.335%42,69051,5340.83調(diào)入002025.SZ航天電器0.277%0.277%35,30642,8640.82調(diào)入000703.SZ恒逸石化0.235%0.235%11,99615,8710.76調(diào)入300604.SZ長川科技0.312%0.312%39,69954,0920.73調(diào)入603160.SH匯頂科技0.213%0.213%13,53419,0490.71調(diào)入601666.SH平煤股份0.255%0.255%32,49647,1500.69調(diào)入002080.SZ中材科技0.233%0.233%29,67243,2670.69調(diào)入000155.SZ川能動力0.275%0.275%35,00952,0350.67調(diào)入600032.SH浙江新能0.038%0.038%4,9017,4210.66調(diào)入605358.SH立昂微0.327%0.327%41,71766,1500.63調(diào)入600489.SH中金黃金0.350%0.350%17,74028,3660.63調(diào)入002850.SZ科達(dá)利0.202%0.202%25,71841,5610.62調(diào)入300568.SZ星源材質(zhì)0.349%0.349%44,49672,0340.62調(diào)入688385.SH復(fù)旦微電0.277%0.277%35,34158,2150.61調(diào)入300866.SZ安克創(chuàng)新0.141%0.141%7,22013,7560.52調(diào)入688063.SH派能科技0.454%0.454%57,863112,8360.51調(diào)入002531.SZ天順風(fēng)能0.190%0.190%24,23247,3810.51調(diào)入300373.SZ揚杰科技0.216%0.216%27,54456,9350.48調(diào)入300850.SZ新強(qiáng)聯(lián)0.192%0.192%24,52951,9730.47調(diào)入300003.SZ樂普醫(yī)療0.447%0.447%24,18052,0560.46調(diào)入600161.SH天壇生物0.272%0.272%13,84233,9090.41調(diào)入002738.SZ中礦資源0.425%0.425%54,163137,5920.39調(diào)入002192.SZ融捷股份0.381%0.381%48,515132,1250.37調(diào)入002568.SZ百潤股份0.284%0.284%14,31839,7300.36操作代碼名稱權(quán)重權(quán)重變動凈調(diào)整金額（萬）近一月日均成交額（萬）沖擊系數(shù)調(diào)入300776.SZ帝爾激光0.167%0.167%21,32359,7870.36調(diào)出605117.SH德業(yè)股份0.000%-0.414%-15,13392,564-0.16調(diào)出000671.SZ陽光城0.000%-0.088%-11,21458,626-0.19調(diào)出002756.SZ永興材料0.000%-0.340%-19,65696,528-0.20調(diào)出300769.SZ德方納米0.000%-0.375%-17,95365,673-0.27調(diào)出603983.SH丸美股份0.000%-0.030%-3,82313,604-0.28調(diào)出601615.SH明陽智能0.000%-0.673%-39,589133,483-0.30調(diào)出688180.SH君實生物-U0.000%-0.363%-46,259126,826-0.36調(diào)出600732.SH愛旭股份0.000%-0.450%-57,346143,148-0.40調(diào)出300166.SZ東方國信0.000%-0.123%-15,67536,942-0.42調(diào)出600522.SH中天科技0.000%-0.724%-92,264211,166-0.44調(diào)出000158.SZ常山北明0.000%-0.106%-13,50826,518-0.51調(diào)出600446.SH金證股份0.000%-0.112%-14,27327,357-0.52調(diào)出002180.SZ納思達(dá)0.000%-0.608%-27,69651,442-0.54調(diào)出002390.SZ信邦制藥0.000%-0.102%-12,99821,125-0.62調(diào)出000983.SZ山西焦煤0.000%-0.429%-54,67088,599-0.62調(diào)出002240.SZ盛新鋰能0.000%-0.408%-51,99482,878-0.63調(diào)出600233.SH圓通速遞0.000%-0.424%-17,80028,321-0.63調(diào)出603198.SH迎駕貢酒0.000%-0.182%-23,19333,786-0.69調(diào)出600572.SH康恩貝0.000%-0.141%-17,96826,118-0.69調(diào)出600256.SH廣匯能源0.000%-0.782%-99,655142,471-0.70調(diào)出000028.SZ國藥一致0.000%-0.083%-10,57714,806-0.71調(diào)出002382.SZ藍(lán)帆醫(yī)療0.000%-0.109%-13,89118,057-0.77調(diào)出600875.SH東方電氣0.000%-0.427%-54,41567,941-0.80調(diào)出002946.SZ新乳業(yè)0.000%-0.031%-3,9514,419-0.89調(diào)出002174.SZ游族網(wǎng)絡(luò)0.000%-0.103%-13,12613,199-0.99調(diào)出000690.SZ寶新能源0.000%-0.226%-28,80126,140-1.10調(diào)出600039.SH四川路橋0.000%-0.358%-27,25123,284-1.17調(diào)出000718.SZ蘇寧環(huán)球0.000%-0.085%-10,8328,472-1.28調(diào)出002004.SZ華邦健康0.000%-0.138%-17,58613,451-1.31調(diào)出002815.SZ崇達(dá)技術(shù)0.000%-0.059%-7,5195,708-1.32調(diào)出600811.SH東方集團(tuán)0.000%-0.108%-13,76310,395-1.32調(diào)出600823.SH世茂股份0.000%-0.054%-6,8824,877-1.41調(diào)出601003.SH柳鋼股份0.000%-0.029%-3,6962,435-1.52調(diào)出601860.SH紫金銀行0.000%-0.128%-16,31210,330-1.58調(diào)出600835.SH上海機(jī)電0.000%-0.062%-7,9014,688-1.69調(diào)出000686.SZ東北證券0.000%-0.157%-20,00710,598-1.89調(diào)出600037.SH歌華有線0.000%-0.132%-16,8228,810-1.91調(diào)出600120.SH浙江東方0.000%-0.102%-12,9986,648-1.96調(diào)出000717.SZ中南股份0.000%-0.059%-7,5193,788-1.98調(diào)出688321.SH微芯生物0.000%-0.112%-14,2736,660-2.14調(diào)出002387.SZ維信諾0.000%-0.093%-11,8525,405-2.19調(diào)出600717.SH天津港0.000%-0.097%-12,3615,328-2.32調(diào)出603515.SH歐普照明0.000%-0.039%-4,9702,070-2.40調(diào)出000488.SZ晨鳴紙業(yè)0.000%-0.099%-12,6165,014-2.52調(diào)出601200.SH上海環(huán)境0.000%-0.099%-12,6164,394-2.87調(diào)出000528.SZ柳工0.000%-0.097%-12,3613,981-3.11調(diào)出000685.SZ中山公用0.000%-0.101%-12,8713,782-3.40調(diào)出001965.SZ招商公路0.000%-0.108%-13,7633,755-3.67調(diào)出002233.SZ塔牌集團(tuán)0.000%-0.101%-12,8713,506-3.67調(diào)出600236.SH桂冠電力0.000%-0.233%-29,6938,071-3.68資料來源：中證指數(shù)有限公司，中信證券研究部▍結(jié)論：回避利空個股，把握調(diào)整價差機(jī)會綜上所述，我們相對看好各指數(shù)調(diào)入組合中買入沖擊較高的個股；相對看空各指數(shù)調(diào)出組合中賣出沖擊系數(shù)較高的個股；總體上看，預(yù)計調(diào)出組合的負(fù)向沖擊或?qū)⒋笥谡{(diào)入組合的正向沖擊。55日左右補倉，以回避短期負(fù)向沖擊風(fēng)險。5數(shù)期貨或融券賣出來對沖市場風(fēng)險，但對沖的同時還要注意期指基差的變化。▍風(fēng)險因素市場與個股流動性急劇變化；調(diào)整沖擊的量化規(guī)律發(fā)生變化；資金大幅流入或流出市場；實際調(diào)倉行為與成分股調(diào)整實施日期的偏差。▍ 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PAGE12PAGE12分析師聲明（）（i）一般性聲明LAgrupofcpani（前述金融機(jī)構(gòu)之客戶）因使用本報告或報告載明的內(nèi)容產(chǎn)生的直接或間接損失承擔(dān)任何責(zé)任。評級說明投資建議的評級標(biāo)準(zhǔn)評級說明報告中投資建議所涉及的評級分為股票評級和行業(yè)評級（另有說明的除外612個612個月內(nèi)的公司股價（或行業(yè)指數(shù)）相對同期相關(guān)證券市場代表性指數(shù)的漲跌幅作為基準(zhǔn)。其中：A股市場以滬深300（針對協(xié)議轉(zhuǎn)讓標(biāo)的或三板做市指數(shù)（針對做市轉(zhuǎn)讓標(biāo)的）為基準(zhǔn)；香港市場以摩根士丹利中國指數(shù)為基準(zhǔn)；美國市場以納斯達(dá)克綜合500指數(shù)為基準(zhǔn)；韓國市場以科斯達(dá)克指數(shù)或韓