多因子价值成长轮动策略:年化收益率（-2.53%）
本策略综合考虑市盈率PE、市净率PB、净资产收益率ROE和净利润增长率四个关键因子，构建多因子综合评分体系，每月初选择综合得分最高的5只股票构建投资组合并等权重持有，旨在获取价值和成长兼具的股票带来的超额收益。
概要
核心指标
- 累计收益率: -3.17%
- 年化收益率: -2.53%
- 基准收益率: 11.83%
- 阿尔法: -0.09
- 夏普比率: -0.06
- 最大回撤: 24.84%
源码
查看AI策略代码
绩效
持仓详情
|
当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-04-25 | 中远海控(601919.SH) | 14.5543648 | 12500 | 18 | 14.38 | 179750 | -2179.56/-1.21% |
| 2025-04-25 | 中国人保(601319.SH) | 6.6820039007092 | 28100 | 39 | 7.2 | 202320 | 14555.69/7.649% |
| 2025-04-25 | 首创环保(600008.SH) | 3.4128126996681 | 61400 | 118 | 3.16 | 194024 | -15522.7/-7.473% |
| 2025-04-25 | 晋控煤业(601001.SH) | 14.429952469136 | 16200 | 118 | 11.47 | 185814 | -47951.23/-20.288% |
| 2025-04-25 | 国电电力(600795.SH) | 5.2288604069818 | 43204 | 155 | 4.58 | 197874.32 | -28033.37/-12.505% |
| 2025-04-24 | 中远海控(601919.SH) | 14.5543648 | 12500 | 17 | 14.23 | 177875 | -4054.56/-2.223% |
| 2025-04-24 | 中国人保(601319.SH) | 6.6820039007092 | 28100 | 38 | 7.29 | 204849 | 17084.69/9.251% |
| 2025-04-24 | 首创环保(600008.SH) | 3.4128126996681 | 61400 | 117 | 3.13 | 192182 | -17364.7/-8.36% |
| 2025-04-24 | 晋控煤业(601001.SH) | 14.429952469136 | 16200 | 117 | 11.63 | 188406 | -45359.23/-19.58% |
| 2025-04-24 | 国电电力(600795.SH) | 5.2288604069818 | 43204 | 154 | 4.54 | 196146.16 | -29761.53/-13.174% |
交易详情
| 2025-04-01 | 凤竹纺织(600493.SH) | 卖 | -35409 | 5.13 | -181648.17 | ¥236.14 | 1583.33 |
| 2025-04-01 | 中远海控(601919.SH) | 买 | 12500 | 14.55 | 181875 | ¥54.56 | 0 |
| 2025-04-01 | 国电电力(600795.SH) | 卖 | -1200 | 4.45 | -5340 | ¥10.34 | -934.63 |
| 2025-04-01 | 中国人保(601319.SH) | 卖 | -100 | 6.83 | -683 | ¥5.68 | 14.8 |
| 2025-04-01 | 首创环保(600008.SH) | 卖 | -800 | 3.12 | -2496 | ¥7.5 | -234.25 |
| 2025-03-03 | 众望布艺(605003.SH) | 卖 | -10900 | 18.2 | -198380 | ¥257.89 | 6482.45 |
| 2025-03-03 | 国电电力(600795.SH) | 卖 | -1200 | 4.23 | -5076 | ¥10.08 | -1198.63 |
| 2025-03-03 | 晋控煤业(601001.SH) | 买 | 1600 | 11.53 | 18448 | ¥5.53 | 0 |
| 2025-03-03 | 凤竹纺织(600493.SH) | 卖 | -900 | 5.3 | -4770 | ¥9.77 | 193.24 |
| 2025-03-03 | 首创环保(600008.SH) | 买 | 1300 | 3.02 | 3926 | ¥5 | 0 |
