多因子价值成长轮动策略:年化收益率（9.21%）
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: 14%
- 年化收益率: 9.21%
- 基准收益率: 21.63%
- 阿尔法: -0.02
- 夏普比率: 0.35
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-07-22 | 中国铝业(601600.SH) | 6.446940625 | 30800 | 55 | 7.77 | 239316 | 40750.23/20.522% |
| 2025-07-22 | 尖峰集团(600668.SH) | 10.189391466732 | 17871 | 55 | 13.11 | 234288.81 | 52194.2/28.663% |
| 2025-07-22 | 中远海控(601919.SH) | 13.624538195544 | 13776 | 76 | 16.18 | 222895.68 | 35204.04/18.756% |
| 2025-07-22 | 中国人保(601319.SH) | 6.6820039007092 | 24900 | 97 | 8.38 | 208662 | 42280.1/25.411% |
| 2025-07-22 | 国电电力(600795.SH) | 5.0706774915271 | 45839 | 213 | 4.77 | 218652.03 | -13782.76/-5.93% |
| 2025-07-21 | 中国铝业(601600.SH) | 6.446940625 | 30800 | 54 | 7.63 | 235004 | 36438.23/18.351% |
| 2025-07-21 | 尖峰集团(600668.SH) | 10.189391466732 | 17871 | 54 | 13.3 | 237684.3 | 55589.69/30.528% |
| 2025-07-21 | 中远海控(601919.SH) | 13.624538195544 | 13776 | 75 | 15.61 | 215043.36 | 27351.72/14.573% |
| 2025-07-21 | 中国人保(601319.SH) | 6.6820039007092 | 24900 | 96 | 8.42 | 209658 | 43276.1/26.01% |
| 2025-07-21 | 国电电力(600795.SH) | 5.0706774915271 | 45839 | 212 | 4.76 | 218193.64 | -14241.15/-6.127% |
交易详情
| 2025-07-15 | 尖峰集团(600668.SH) | 买 | 3071 | 12.43 | -11.47 | ¥0 | 0 |
| 2025-07-10 | 国电电力(600795.SH) | 买 | 1035 | 4.76 | -1.84 | ¥0 | 0 |
| 2025-07-01 | 中国人保(601319.SH) | 卖 | -500 | 8.71 | -4355 | ¥9.36 | 1014 |
| 2025-07-01 | 国电电力(600795.SH) | 卖 | -700 | 4.86 | -3402 | ¥8.4 | -229.47 |
| 2025-07-01 | 中国铝业(601600.SH) | 卖 | -1200 | 7.05 | -8460 | ¥13.46 | 723.67 |
| 2025-06-25 | 中远海控(601919.SH) | 买 | 876 | 15.16 | -6.84 | ¥0 | 0 |
| 2025-06-03 | 中远海控(601919.SH) | 卖 | -300 | 16.33 | -4899 | ¥9.9 | 534.08 |
| 2025-06-03 | 尖峰集团(600668.SH) | 卖 | -500 | 14.06 | -7030 | ¥12.03 | 878.15 |
| 2025-06-03 | 中国人保(601319.SH) | 卖 | -1600 | 8.21 | -13136 | ¥18.14 | 2444.79 |
| 2025-06-03 | 中国铝业(601600.SH) | 买 | 2400 | 6.63 | 15912 | ¥5 | 0 |
