多因子价值成长轮动策略:年化收益率（6.81%）
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: 10.13%
- 年化收益率: 6.81%
- 基准收益率: 18.64%
- 阿尔法: -0.03
- 夏普比率: 0.27
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-07-14 | 中国铝业(601600.SH) | 6.446940625 | 30800 | 49 | 7.18 | 221144 | 22578.23/11.371% |
| 2025-07-14 | 尖峰集团(600668.SH) | 12.303690196078 | 14800 | 49 | 15.01 | 222148 | 40053.39/21.996% |
| 2025-07-14 | 中远海控(601919.SH) | 13.624538195544 | 13776 | 70 | 15.33 | 211186.08 | 23494.44/12.518% |
| 2025-07-14 | 中国人保(601319.SH) | 6.6820039007092 | 24900 | 91 | 8.55 | 212895 | 46513.1/27.956% |
| 2025-07-14 | 国电电力(600795.SH) | 5.0706774915271 | 45839 | 207 | 4.75 | 217735.25 | -14699.54/-6.324% |
| 2025-07-11 | 中国铝业(601600.SH) | 6.446940625 | 30800 | 48 | 7.27 | 223916 | 25350.23/12.767% |
| 2025-07-11 | 尖峰集团(600668.SH) | 12.303690196078 | 14800 | 48 | 14.78 | 218744 | 36649.39/20.127% |
| 2025-07-11 | 中远海控(601919.SH) | 13.624538195544 | 13776 | 69 | 15.23 | 209808.48 | 22116.84/11.784% |
| 2025-07-11 | 中国人保(601319.SH) | 6.6820039007092 | 24900 | 90 | 8.48 | 211152 | 44770.1/26.908% |
| 2025-07-11 | 国电电力(600795.SH) | 5.0706774915271 | 45839 | 206 | 4.73 | 216818.47 | -15616.32/-6.719% |
交易详情
| 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 |
| 2025-06-03 | 国电电力(600795.SH) | 买 | 2800 | 4.56 | 12768 | ¥5 | 0 |
