全天候资产配置策略:年化收益率（9.14%）
该策略为ETF全天候多资产组合策略，通过固定权重分配股票、债券、黄金和大宗商品ETF构建稳健组合，并结合牛市趋势信号适度提高股票权重以模拟杠杆，同时实时监控组合波动率和VaR进行风险控制，实现风险可控下的稳健收益与顺势增强。
概要
核心指标
- 累计收益率: 231.75%
- 年化收益率: 9.14%
- 基准收益率: 93.59%
- 阿尔法: 0.04
- 夏普比率: 0.48
- 最大回撤: 29.58%
源码
查看AI策略代码
绩效
持仓详情
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当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-03-31 | 十年国债(511260.SH) | 122.8867556623 | 3668 | 2076 | 134.594 | 493690.79 | 42942.17/9.527% |
| 2026-03-31 | 城投ETF(511220.SH) | 9.5748379491753 | 23878 | 2736 | 10.312 | 246229.94 | 17601.96/7.699% |
| 2026-03-31 | 消费ETF(159928.SZ) | 0.86412448532333 | 444000 | 3036 | 0.742 | 329448 | -54223.27/-14.133% |
| 2026-03-31 | 黄金ETF(518880.SH) | 6.3691648789746 | 54800 | 3076 | 9.699 | 531505.2 | 182474.96/52.281% |
| 2026-03-31 | 国债ETF(511010.SH) | 113.65941733671 | 512 | 3156 | 140.504 | 71938.05 | 13744.43/23.618% |
| 2026-03-31 | 500ETF(510500.SH) | 5.9240950307231 | 43453 | 3166 | 7.683 | 333849.4 | 76429.7/29.691% |
| 2026-03-31 | 300ETF(510300.SH) | 3.8712957340723 | 147600 | 3356 | 4.463 | 658738.8 | 87335.55/15.284% |
| 2026-03-31 | 红利ETF(510880.SH) | 2.6499758980388 | 50566 | 3446 | 3.251 | 164390.07 | 30391.38/22.68% |
| 2026-03-31 | 创业板(159915.SZ) | 2.2584373896504 | 151900 | 3446 | 3.182 | 483345.8 | 140289.16/40.894% |
| 2026-03-30 | 十年国债(511260.SH) | 122.8867556623 | 3668 | 2075 | 134.565 | 493584.42 | 42835.8/9.503% |
交易详情
| 2026-03-25 | 十年国债(511260.SH) | 买 | 18 | 134.24 | -32.83 | ¥0 | 0 |
| 2026-03-25 | 国债ETF(511010.SH) | 买 | 2 | 140.193 | -10.82 | ¥0 | 0 |
| 2026-03-24 | 300ETF(510300.SH) | 卖 | -1000 | 4.479 | -4479 | ¥5 | 607.7 |
| 2026-03-24 | 创业板(159915.SZ) | 卖 | -9200 | 3.237 | -29780.4 | ¥5.96 | 9002.78 |
| 2026-03-24 | 500ETF(510500.SH) | 买 | 2300 | 7.652 | 17599.6 | ¥5 | 0 |
| 2026-03-24 | 红利ETF(510880.SH) | 卖 | -1500 | 3.269 | -4903.5 | ¥5 | 928.54 |
| 2026-03-24 | 十年国债(511260.SH) | 卖 | -100 | 134.911 | -13491.1 | ¥5 | 1141.82 |
| 2026-03-24 | 城投ETF(511220.SH) | 卖 | -1200 | 10.295 | -12354 | ¥5 | 864.19 |
| 2026-03-24 | 黄金ETF(518880.SH) | 买 | 7300 | 9.299 | 67882.7 | ¥13.58 | 0 |
| 2026-03-24 | 消费ETF(159928.SZ) | 卖 | -2100 | 0.742 | -1558.2 | ¥5 | -256.46 |
