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商品贴水 · 期货报表

策略:持有连1主力合约,按主力切换日自动展期,不考虑资金成本。绩效基于连续合约日收益率计算(年化252交易日)。数据截至 2026-03-13

品种概览
点击行选择品种在净值图中叠加;点击表头排序
品种类别起始年化收益 (贴水/价格)最大回撤年化波动夏普主力合约次月合约月差年化贴水1Y分位信号
燃油能源2017-11-23
+5.3%
+2.5%|+2.8%
-61.4%+36.6%+0.09
FU2605
4762.0
FU2606
4399.0
+363.0+91.5%
100%
强贴水
低硫燃油能源2020-06-22
+27.5%
+11.0%|+16.5%
-33.4%+35.2%+0.72
LU2605
5607.0
LU2606
5206.0
+401.0+85.8%
100%
强贴水
鸡蛋农业2017-12-12
-13.1%
-11.9%|-1.2%
-75.4%+19.8%-0.76
JD2605
3456.0
JD2606
3273.0
+183.0+63.5%
89%
强贴水
聚丙烯化工2017-12-12
+3.0%
+3.8%|-0.8%
-36.9%+18.0%+0.05
PP2605
8581.0
PP2606
8207.0
+374.0+52.3%
99%
强贴水
豆粕农业2017-12-12
+10.1%
+8.7%|+1.3%
-27.4%+18.5%+0.43
M2605
3132.0
M2607
2947.0
+185.0+35.4%
100%
强贴水
沥青能源2017-12-12
+6.2%
+0.1%|+6.1%
-50.0%+28.4%+0.15
BU2606
4035.0
BU2607
3953.0
+82.0+24.4%
98%
强贴水
塑料化工2017-12-12
+0.4%
+2.1%|-1.7%
-41.7%+17.4%-0.09
L2605
8430.0
L2606
8301.0
+129.0+18.4%
99%
强贴水
铁矿石黑色2017-12-12
+26.9%
+19.5%|+7.4%
-56.6%+35.0%+0.71
I2605
815.0
I2606
804.0
+11.0+16.2%
97%
强贴水
乙二醇化工2018-12-10
-6.5%
-3.8%|-2.7%
-62.0%+26.0%-0.33
EG2605
4740.0
EG2606
4683.0
+57.0+14.4%
99%
强贴水
中证1000股指2022-07-22
+15.3%
+10.6%|+4.8%
-38.3%+25.5%+0.52
IM2603
8204.0
IM2604
8137.2
+66.8+9.8%
20%
强贴水
中证500股指2017-12-12
+12.2%
+8.7%|+3.5%
-36.5%+23.4%+0.44
IC2603
8229.8
IC2604
8182.6
+47.2+6.9%
16%
强贴水
不锈钢有色2019-09-25
+3.3%
+5.2%|-1.9%
-35.9%+21.7%+0.06
SS2605
14270.0
SS2606
14210.0
+60.0+5.0%
96%
强贴水
豆油农业2017-12-12
+9.8%
+4.7%|+5.1%
-37.2%+19.7%+0.39
Y2605
8708.0
Y2607
8636.0
+72.0+5.0%
78%
贴水
沪深300股指2017-12-12
+5.1%
+3.4%|+1.7%
-41.7%+20.7%+0.15
IF2603
4659.8
IF2604
4641.2
+18.6+4.8%
74%
贴水
白银贵金属2017-12-12
+21.4%
-2.3%|+23.7%
-43.0%+29.8%+0.65
AG2606
21676.0
AG2607
21593.0
+83.0+4.6%
91%
贴水
橡胶化工2017-12-12
-9.8%
-11.7%|+1.9%
-63.5%+22.6%-0.52
RU2605
16990.0
RU2606
16955.0
+35.0+2.5%
86%
贴水
棕榈油农业2017-12-12
+16.1%
+7.6%|+8.5%
-45.2%+25.9%+0.54
P2605
9776.0
P2606
9764.0
+12.0+1.5%
41%
贴水
十年国债国债2017-12-12
+3.2%
+1.1%|+2.0%
-5.0%+3.0%+0.38
T2606
108.2
T2609
108.2
+0.0+0.1%
58%
贴水
热卷黑色2017-12-12
+5.8%
+8.0%|-2.2%
-47.9%+21.0%+0.18
HC2605
3298.0
HC2606
3301.0
-3.0-1.1%
46%
平水
黄金贵金属2017-12-12
+17.7%
-1.7%|+19.4%
-21.2%+15.4%+1.01
AU2604
1141.6
AU2605
1142.6
-1.0-1.1%
87%
平水
有色2017-12-12
+10.0%
+4.8%|+5.3%
-45.3%+31.4%+0.26
NI2605
138530.0
NI2606
138660.0
-130.0-1.1%
76%
平水
有色2017-12-12
+9.0%
+0.3%|+8.7%
-35.2%+17.1%+0.41
CU2604
100600.0
CU2605
100750.0
-150.0-1.8%
15%
平水
有色2017-12-12
+4.8%
+5.3%|-0.5%
-33.9%+19.6%+0.14
ZN2604
24220.0
ZN2605
24260.0
-40.0-2.0%
18%
平水
原油能源2018-03-26
+6.1%
-1.7%|+7.7%
-74.5%+36.5%+0.11
SC2604
753.1
SC2605
754.5
-1.4-2.2%
33%
平水
螺纹钢黑色2017-12-12
+3.3%
+6.2%|-2.9%
-51.1%+21.9%+0.06
RB2605
3141.0
RB2606
3147.0
-6.0-2.3%
66%
平水
玉米农业2017-12-12
+1.1%
-2.6%|+3.7%
-32.8%+10.9%-0.09
C2605
2389.0
C2607
2401.0
-12.0-3.0%
45%
升水
PVC化工2017-12-12
-2.4%
-0.4%|-2.0%
-71.8%+21.2%-0.21
V2605
5729.0
V2606
5744.0
-15.0-3.1%
98%
升水
有色2017-12-12
+8.5%
+1.2%|+7.3%
-30.7%+17.3%+0.38
AL2604
25195.0
AL2605
25285.0
-90.0-4.3%
4%
升水
纸浆轻工2018-11-27
-0.0%
+0.1%|-0.1%
-37.7%+20.3%-0.10
SP2605
5268.0
SP2606
5290.0
-22.0-5.0%
12%
升水
焦炭黑色2017-12-12
+4.9%
+7.9%|-3.0%
-61.5%+34.1%+0.08
J2605
1743.5
J2606
1776.0
-32.5-22.4%
19%
升水
焦煤黑色2017-12-12
+6.8%
+8.0%|-1.2%
-72.4%+36.8%+0.13
JM2605
1178.5
JM2606
1201.0
-22.5-22.9%
30%
升水
生猪农业2021-01-08
-30.8%
-16.9%|-13.9%
-85.4%+24.6%-1.34
LH2605
11160.0
LH2607
12330.0
-1170.0-62.9%
0%
升水
年化收益 >20%10-20%5-10%<0%32 个品种 · 夏普使用 2% 无风险利率 · 月差 = 主力价 - 次主力价
净值曲线(连1滚动持有)
初始净值=1,按日复利;点击上方表格行选择品种叠加对比
在下方表格中点击品种行选择叠加对比
年化展期收益率走势
基于主力/次主力价差,年化展期收益率 5 年历史走势
月历效应:各月平均 / 中位月涨跌幅
每个品种显示均值(上)和中位数(下)两行,基于全历史主力连续价格对数月收益率(%)
品种类别统计010203040506070809101112
白银贵金属均值9.4%-4.0%1.6%2.8%1.9%-2.8%0.4%-0.6%2.5%2.5%3.4%6.9%
中位-0.8%-2.3%4.5%4.7%-0.2%-3.4%-0.7%-0.0%5.5%2.3%5.5%1.1%
有色均值3.1%-0.3%1.2%0.1%-0.0%-1.6%-0.1%2.4%2.8%-3.0%-0.9%2.2%
中位3.1%-0.8%0.8%-1.4%0.3%-1.0%0.1%1.9%1.6%-0.2%-2.2%4.3%
黄金贵金属均值5.0%1.6%3.4%3.1%0.2%-2.5%1.0%0.8%2.1%2.5%0.9%1.3%
中位2.4%0.9%3.9%2.3%-1.3%-1.0%1.4%1.0%1.1%1.1%0.3%1.3%
沥青能源均值4.2%-3.8%2.2%0.9%3.1%1.7%-0.8%-4.7%0.5%-5.1%-4.4%5.2%
中位0.9%-1.7%-0.9%0.3%2.7%0.4%-2.4%-4.1%2.2%-3.7%-7.8%2.3%
有色均值3.6%0.2%1.1%2.9%-0.4%-3.7%-1.4%-0.3%1.2%0.7%0.1%2.6%
中位3.0%0.1%1.6%-0.1%0.1%-4.5%-2.0%-1.3%0.3%1.5%0.1%0.9%
玉米农业均值1.3%1.9%-2.0%2.0%-1.0%0.4%-2.9%-0.7%-2.1%1.5%0.4%-0.3%
中位1.9%2.6%-2.2%3.6%-1.0%2.1%-2.7%-0.3%-2.0%2.3%0.7%-0.4%
乙二醇化工均值4.2%-4.3%1.9%-3.5%1.5%-3.1%3.5%-2.5%3.6%-7.2%-2.5%3.2%
中位4.8%-2.9%-3.5%-3.2%3.2%-1.3%3.9%-0.3%-0.8%-4.4%-0.2%3.8%
燃油能源均值7.7%-0.5%9.0%2.0%-0.3%2.3%-3.3%-3.1%1.7%-7.1%-4.2%2.5%
中位6.5%-0.1%4.1%2.9%3.1%2.9%-1.4%-3.1%1.8%-9.6%-2.8%3.4%
热卷黑色均值2.4%-0.8%0.8%-2.5%-4.4%0.1%2.3%-4.0%1.8%-4.9%0.6%-0.1%
中位1.5%-1.8%1.3%-4.3%-3.9%2.6%6.5%-4.7%2.2%-3.1%-0.2%-1.2%
中证500股指均值-1.9%5.6%-2.5%-3.6%0.1%1.2%0.3%1.0%4.4%-1.4%0.5%-0.8%
中位0.8%4.6%-1.3%-2.8%0.0%1.3%0.6%-2.6%-0.2%-2.3%0.2%-1.9%
沪深300股指均值-1.1%1.9%-2.1%-2.1%-0.1%1.2%-1.3%-0.5%3.5%-4.0%-0.0%0.2%
中位0.1%2.5%-0.9%-1.6%1.4%0.8%-0.2%-2.6%0.2%-3.2%-1.5%-0.1%
中证1000股指均值-1.2%6.3%-1.7%-3.0%-2.3%-1.4%1.7%-1.3%4.0%0.1%1.5%-3.4%
中位4.1%6.8%-2.1%-3.2%-2.6%0.1%0.8%-5.2%-0.1%-1.2%1.9%-4.7%
铁矿石黑色均值4.0%-5.4%3.0%-1.9%-1.1%0.6%-1.0%-7.7%1.8%-5.3%5.6%3.0%
中位2.7%-5.0%3.5%-5.8%-0.3%1.4%1.1%-0.8%1.5%-3.1%3.1%0.5%
鸡蛋农业均值-1.5%2.6%-2.3%8.4%-0.4%3.7%-2.3%-6.4%1.1%1.6%0.5%-7.7%
中位0.3%1.7%-2.7%10.6%-0.8%0.8%-3.0%-5.3%2.4%0.2%0.4%-7.5%
焦煤黑色均值-1.3%3.5%-0.1%-3.8%-9.7%2.7%7.3%-1.0%12.7%-9.4%-0.4%-5.2%
中位-2.0%3.4%-0.4%-7.6%-8.7%8.2%7.3%3.3%12.8%-12.7%-4.9%-6.8%
焦炭黑色均值1.1%0.8%-1.4%-1.4%-8.3%1.9%3.0%-2.2%8.6%-6.6%-1.4%-0.2%
中位-0.2%1.3%-2.2%-5.0%-10.3%4.3%7.3%-1.2%8.6%-9.5%-6.7%-3.1%
生猪农业均值-3.4%5.2%-3.9%12.4%-4.1%-0.9%2.3%-0.6%-7.9%0.5%-3.8%-10.6%
中位-4.1%4.9%-3.5%8.6%-2.2%2.2%1.6%-2.0%-6.7%1.4%-1.8%-11.4%
低硫燃油能源均值6.4%-0.6%7.1%-0.6%2.5%4.5%-0.6%-3.5%0.8%-3.6%-8.3%0.4%
中位5.5%0.5%1.2%-1.9%4.4%5.6%0.6%-4.7%-1.2%-1.7%-7.5%-2.0%
塑料化工均值2.0%-2.1%2.3%-3.4%-1.5%1.1%-0.2%-1.5%4.2%-5.0%-0.2%-0.7%
中位3.2%-1.5%-1.3%-4.3%-0.5%2.7%1.2%-1.6%0.9%-2.5%-2.4%-0.2%
豆粕农业均值-0.3%1.2%2.0%2.1%-0.1%-0.2%0.9%-2.6%0.9%-0.4%-0.9%-7.4%
中位1.1%0.8%3.4%3.5%0.2%-2.1%1.5%-3.0%-0.6%-0.9%0.5%-9.5%
有色均值2.8%0.7%1.7%3.7%-3.4%-5.0%2.1%-1.5%-1.1%-2.1%0.6%5.1%
中位0.1%3.0%-0.3%3.5%-2.7%-0.5%0.1%-1.1%-1.0%-2.0%2.3%1.8%
聚丙烯化工均值2.6%-1.7%2.6%-2.4%-1.6%0.5%0.3%-1.3%3.8%-6.2%-1.9%-0.0%
中位3.3%-2.6%-0.5%-3.4%-1.8%1.7%0.6%-1.7%-0.4%-4.0%-2.2%-0.5%
棕榈油农业均值3.4%3.9%-0.2%-5.3%-0.7%-2.4%2.9%2.0%-2.0%1.1%1.3%-5.9%
中位1.5%4.9%-1.0%-10.9%-0.9%-1.6%0.6%3.1%-1.5%2.6%2.7%-4.1%
螺纹钢黑色均值2.3%-1.4%-0.3%-0.3%-5.2%0.2%1.6%-4.7%3.3%-6.7%-0.0%2.4%
中位1.8%-1.8%0.8%-1.9%-5.4%2.6%2.9%-3.4%3.6%-4.3%0.3%1.6%
橡胶化工均值-0.8%0.6%-2.6%-4.8%-0.4%-0.6%0.2%7.9%3.7%-3.0%2.0%0.0%
中位-2.2%3.3%-2.6%-3.5%0.7%-1.8%1.5%8.6%1.7%-0.5%2.3%-1.8%
原油能源均值6.1%0.5%7.1%-2.2%1.6%4.7%0.7%-2.0%1.3%-3.6%-8.7%0.3%
中位6.9%2.4%2.7%-0.1%0.1%5.7%-1.3%-2.8%-0.6%-2.0%-11.2%-3.8%
纸浆轻工均值0.4%-0.4%-3.4%-1.0%-2.4%-2.1%2.4%-1.3%0.7%-3.8%1.9%1.9%
中位1.8%-0.6%-1.9%4.4%-2.7%-1.5%4.3%-1.1%-1.9%-4.4%0.7%2.4%
不锈钢有色均值3.8%-0.3%1.0%0.1%-0.9%-1.8%3.5%-2.1%2.1%-2.0%-3.6%1.1%
中位3.5%-0.2%0.8%1.0%0.0%-1.1%2.4%-1.7%0.7%-1.0%-3.1%0.4%
十年国债国债均值0.4%-0.3%0.2%0.5%0.1%0.2%0.7%-0.2%-0.5%0.3%-0.3%0.7%
中位0.4%-0.3%0.4%0.6%0.1%0.2%1.1%-0.4%-0.5%0.5%0.0%0.7%
PVC化工均值1.8%-2.2%2.3%-2.4%-1.2%-2.9%1.2%-2.0%4.7%-8.9%-2.4%1.9%
中位3.1%0.0%-2.0%-3.3%-3.1%-1.4%5.3%-1.9%-0.5%-5.3%-3.4%2.4%
豆油农业均值1.8%1.1%-2.6%-0.1%-0.9%-0.6%1.4%1.9%-1.7%0.3%-0.7%-5.5%
中位0.5%1.3%-3.3%-1.7%-1.2%-2.1%0.7%1.9%-2.6%0.2%1.6%-5.8%
有色均值2.4%-2.1%0.5%1.0%-1.0%-1.4%-0.0%1.1%0.8%-1.1%0.1%1.8%
中位4.1%-2.4%-0.6%1.6%-0.6%-0.2%1.1%-0.7%1.1%-1.8%-0.6%3.4%
深绿 高正收益月深红 高负收益月
品种间相关性矩阵(滚动1年)
基于连1合约最近1年日涨跌幅计算
铁矿石豆粕低硫燃油螺纹钢焦炭焦煤热卷生猪玉米豆油棕榈油原油沥青燃油塑料聚丙烯PVC乙二醇不锈钢黄金白银沪深300中证500中证1000纸浆橡胶鸡蛋十年国债
铁矿石10.100.170.630.530.460.620.040.120.190.190.180.250.190.280.300.350.260.350.290.310.270.270.020.130.220.220.210.210.240.07-0.17
豆粕0.1010.150.110.100.110.120.090.250.320.220.130.120.150.130.140.120.120.090.120.090.110.140.040.070.030.030.010.190.120.11-0.03
低硫燃油0.170.1510.160.170.160.170.050.110.350.360.840.630.790.440.460.240.390.280.260.230.230.210.120.140.130.110.080.170.210.07-0.08
螺纹钢0.630.110.1610.630.530.870.060.120.220.220.160.260.190.360.360.450.320.350.360.290.260.350.010.120.260.250.260.290.290.09-0.16
焦炭0.530.100.170.6310.770.600.030.120.230.220.180.240.210.320.360.440.310.320.330.310.270.300.030.130.210.210.180.230.260.07-0.14
焦煤0.460.110.160.530.7710.510.030.140.200.180.160.210.180.300.310.400.290.260.300.270.240.260.030.100.160.160.180.210.240.07-0.11
热卷0.620.120.170.870.600.5110.070.120.240.240.170.260.180.350.350.420.320.370.360.320.270.360.010.130.270.270.260.300.290.06-0.17
生猪0.040.090.050.060.030.030.0710.070.110.100.070.080.070.070.070.110.110.110.060.100.070.070.030.060.050.050.060.110.110.05-0.09
玉米0.120.250.110.120.120.140.120.0710.210.150.070.070.100.090.080.090.110.120.120.110.080.110.040.060.050.050.080.120.080.09-0.04
豆油0.190.320.350.220.230.200.240.110.2110.790.370.300.350.300.300.270.280.300.270.240.240.220.100.170.170.180.180.280.260.08-0.12
棕榈油0.190.220.360.220.220.180.240.100.150.7910.360.310.350.300.280.250.260.310.260.240.260.220.100.170.170.180.170.240.250.03-0.12
原油0.180.130.840.160.180.160.170.070.070.370.3610.670.770.420.430.230.400.300.260.240.230.250.090.170.150.140.070.190.250.08-0.10
沥青0.250.120.630.260.240.210.260.080.070.300.310.6710.630.480.480.310.450.350.290.260.270.280.110.210.220.200.150.230.310.09-0.12
燃油0.190.150.790.190.210.180.180.070.100.350.350.770.6310.410.420.250.410.320.270.260.210.260.070.170.150.140.080.200.230.08-0.10
塑料0.280.130.440.360.320.300.350.070.090.300.300.420.480.4110.860.600.590.330.320.280.260.250.070.180.230.230.190.240.350.09-0.18
聚丙烯0.300.140.460.360.360.310.350.070.080.300.280.430.480.420.8610.570.580.320.320.270.260.260.060.170.230.220.160.240.330.10-0.16
PVC0.350.120.240.450.440.400.420.110.090.270.250.230.310.250.600.5710.450.310.330.280.260.270.040.130.200.200.170.220.280.06-0.15
乙二醇0.260.120.390.320.310.290.320.110.110.280.260.400.450.410.590.580.4510.350.340.300.250.260.050.170.180.180.170.250.340.08-0.16
0.350.090.280.350.320.260.370.110.120.300.310.300.350.320.330.320.310.3510.600.620.470.390.260.410.370.350.300.230.370.08-0.17
0.290.120.260.360.330.300.360.060.120.270.260.260.290.270.320.320.330.340.6010.520.330.340.170.290.270.290.280.220.290.09-0.15
0.310.090.230.290.310.270.320.100.110.240.240.240.260.260.280.270.280.300.620.5210.390.400.150.300.280.260.270.180.290.09-0.17
0.270.110.230.260.270.240.270.070.080.240.260.230.270.210.260.260.260.250.470.330.3910.580.170.280.260.240.250.260.310.05-0.15
不锈钢0.270.140.210.350.300.260.360.070.110.220.220.250.280.260.250.260.270.260.390.340.400.5810.150.230.220.210.230.250.300.07-0.08
黄金0.020.040.120.010.030.030.010.030.040.100.100.090.110.070.070.060.040.050.260.170.150.170.1510.670.060.070.120.080.07-0.010.11
白银0.130.070.140.120.130.100.130.060.060.170.170.170.210.170.180.170.130.170.410.290.300.280.230.6710.190.190.180.160.230.020.01
沪深3000.220.030.130.260.210.160.270.050.050.170.170.150.220.150.230.230.200.180.370.270.280.260.220.060.1910.850.770.180.300.08-0.27
中证5000.220.030.110.250.210.160.270.050.050.180.180.140.200.140.230.220.200.180.350.290.260.240.210.070.190.8510.940.170.290.08-0.24
中证10000.210.010.080.260.180.180.260.060.080.180.170.070.150.080.190.160.170.170.300.280.270.250.230.120.180.770.9410.100.270.07-0.22
纸浆0.210.190.170.290.230.210.300.110.120.280.240.190.230.200.240.240.220.250.230.220.180.260.250.080.160.180.170.1010.240.05-0.11
橡胶0.240.120.210.290.260.240.290.110.080.260.250.250.310.230.350.330.280.340.370.290.290.310.300.070.230.300.290.270.2410.06-0.17
鸡蛋0.070.110.070.090.070.070.060.050.090.080.030.080.090.080.090.100.060.080.080.090.090.050.07-0.010.020.080.080.070.050.061-0.06
十年国债-0.17-0.03-0.08-0.16-0.14-0.11-0.17-0.09-0.04-0.12-0.12-0.10-0.12-0.10-0.18-0.16-0.15-0.16-0.17-0.15-0.17-0.15-0.080.110.01-0.27-0.24-0.22-0.11-0.17-0.061