Z-score风险平价动态止损ETF策略:年化收益率（18.18%）
该策略基于Z-score方法对防御性ETF进行横截面选基，通过计算ETF的波动率倒数及成交额等因子，对候选ETF进行评分与排序；在持仓分配上采用风险平价权重，以降低组合整体波动风险；同时结合动态波动率止损机制，及时剔除异常波动的ETF，从而兼顾收益与风险，实现稳健的ETF组合投资管理。
概要
核心指标
- 累计收益率: 799.14%
- 年化收益率: 18.18%
- 基准收益率: 90.45%
- 阿尔法: 0.15
- 夏普比率: 0.87
- 最大回撤: 21.98%
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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-08-22 | 300ETF(510300.SH) | 4.3688736012966 | 1542500 | 2 | 4.479 | 6908857.5 | 169869.97/2.521% |
| 2025-08-22 | 恒生医疗(513060.SH) | 0.65053126292933 | 2843600 | 79 | 0.723 | 2055922.8 | 206072.1/11.14% |
| 2025-08-21 | 300ETF(510300.SH) | 4.3688736012966 | 1542500 | 1 | 4.378 | 6753065 | 14077.47/0.209% |
| 2025-08-21 | 十年国债(511260.SH) | 136.85536556291 | 0 | 43 | 135.52 | 0 | -82528.48/-0.998% |
| 2025-08-21 | 恒生医疗(513060.SH) | 0.65053126292933 | 2843600 | 78 | 0.716 | 2036017.6 | 186166.9/10.064% |
| 2025-08-20 | 十年国债(511260.SH) | 136.85536556291 | 60400 | 42 | 135.489 | 8183535.6 | -82528.48/-0.998% |
| 2025-08-20 | 恒生医疗(513060.SH) | 0.48609720028472 | 793200 | 77 | 0.709 | 562378.8 | 176806.5/45.856% |
| 2025-08-19 | 十年国债(511260.SH) | 136.85536556291 | 60400 | 41 | 135.621 | 8191508.4 | -74555.68/-0.902% |
| 2025-08-19 | 恒生医疗(513060.SH) | 0.48609720028472 | 793200 | 76 | 0.719 | 570310.8 | 184738.5/47.913% |
| 2025-08-18 | 十年国债(511260.SH) | 136.85536556291 | 60400 | 40 | 135.563 | 8188005.2 | -78058.88/-0.944% |
交易详情
| 2025-08-21 | 十年国债(511260.SH) | 卖 | -60400 | 135.534 | -8186253.6 | ¥1637.25 | -79810.48 |
| 2025-08-21 | 恒生医疗(513060.SH) | 买 | 2050400 | 0.714 | 1463985.6 | ¥292.8 | 0 |
| 2025-08-21 | 300ETF(510300.SH) | 买 | 1542500 | 4.368 | 6737640 | ¥1347.53 | 0 |
| 2025-06-24 | 黄金ETF(518880.SH) | 卖 | -731100 | 7.431 | -5432804.1 | ¥1086.56 | -10614.47 |
| 2025-06-24 | 恒生医疗(513060.SH) | 卖 | -5107400 | 0.56 | -2860144 | ¥572.03 | 377451.16 |
| 2025-06-24 | 十年国债(511260.SH) | 买 | 60400 | 136.828 | 8264411.2 | ¥1652.88 | 0 |
| 2025-04-30 | 国债ETF(511010.SH) | 卖 | -48600 | 141.192 | -6861931.2 | ¥1372.39 | 3099.71 |
| 2025-04-30 | 黄金ETF(518880.SH) | 买 | 579700 | 7.525 | 4362242.5 | ¥872.45 | 0 |
| 2025-04-30 | 恒生医疗(513060.SH) | 买 | 5900600 | 0.486 | 2867691.6 | ¥573.54 | 0 |
| 2025-04-10 | 恒生医疗(513060.SH) | 卖 | -12226900 | 0.434 | -5306474.6 | ¥1061.29 | -147813.44 |
