挑选一个风险因子作单因子策略，再挑选一批稳健资产作为对冲波动的产品.$$\sigma_p=\sqrt{\sigma_1^2+\sigma_2^2} < \sigma_1 + \sigma_2$$ 整体风险小于部分风险之和。跟踪误差的定义为收益率与基准收益率差值的标准差: $$track\_error=std(r_p - r_b)$$ 跟踪指数的原理: $\begin{aligned} & \text{min} \quad std(r_p - r_b) \\\\ & \text{s.t.}\quad h^TI=1 \\\\ & \text{s.t.}\quad h\geq0 \\\\ \end{aligned}$ 其中$I=[1, 1, 1,..., 1]^T$
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当日收盘价 | 当日市值 | 浮动收益/浮动收益率
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| 2025-05-20 | 华骐环保(300929.SZ) | 6.772031 | 11600 | 171 | 9.98 | 115768 | 37212.44/% |
| 2025-05-20 | 荣丰控股(000668.SZ) | 9.242772 | 12200 | 105 | 6.76 | 82472 | -30289.82/% |
| 2025-05-20 | 兴业银行(601166.SH) | 21.073424 | 35600 | 105 | 22.52 | 801712 | 51498.12/% |
| 2025-05-20 | 亚太实业(000691.SZ) | 3.160948 | 34600 | 83 | 5.02 | 173692 | 64323.2/% |
| 2025-05-20 | 美芝股份(002856.SZ) | 8.522556 | 12700 | 83 | 11 | 139700 | 31463.54/% |
| 2025-05-20 | 高斯贝尔(002848.SZ) | 7.062118 | 16800 | 61 | 6.92 | 116256 | -2387.58/% |
| 2025-05-20 | 百邦科技(300736.SZ) | 9.90297 | 12400 | 39 | 10.05 | 124620 | 1823.17/% |
| 2025-05-20 | 和科达(002816.SZ) | 10.373111 | 10900 | 17 | 18.54 | 202086 | 89019.09/% |
| 2025-05-20 | 建艺集团(002789.SZ) | 7.252175 | 16600 | 17 | 8.86 | 147076 | 26689.89/% |
| 2025-05-20 | 科净源(301372.SZ) | 16.725016 | 7000 | 17 | 21.39 | 149730 | 32654.89/% |
| 2025-04-22 | 太和水(605081.SH) | 卖 | -10800 | 10.53 | -113724 | ¥147.84 | 4071.11 |
| 2025-04-22 | 华嵘控股(600421.SH) | 卖 | -18900 | 5.88 | -111132 | ¥144.47 | -12322.03 |
| 2025-04-22 | 宁波富邦(600768.SH) | 卖 | -12300 | 9 | -110700 | ¥143.91 | -11352.6 |
| 2025-04-22 | 庚星股份(600753.SH) | 卖 | -21200 | 5.68 | -120416 | ¥156.54 | -1732.63 |
| 2025-04-22 | 和科达(002816.SZ) | 买 | 10900 | 10.37 | 113033 | ¥33.91 | 0 |
| 2025-04-22 | 建艺集团(002789.SZ) | 买 | 16600 | 7.25 | 120350 | ¥36.11 | 0 |
| 2025-04-22 | 科净源(301372.SZ) | 买 | 7000 | 16.72 | 117040 | ¥35.11 | 0 |
| 2025-04-22 | 中信银行(601998.SH) | 卖 | -15007 | 7.31 | -109701.17 | ¥142.61 | 1182.84 |
| 2025-04-22 | 兴业银行(601166.SH) | 买 | 35200 | 21.08 | 742016 | ¥222.6 | 0 |
| 2025-04-22 | 邮储银行(601658.SH) | 卖 | -29700 | 5.25 | -155925 | ¥202.7 | -5106.3 |
