多因子价值成长轮动策略:年化收益率（6.72%）
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: 10.47%
- 年化收益率: 6.72%
- 基准收益率: 21.47%
- 阿尔法: -0.04
- 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
|
|||||
|---|---|---|---|---|---|---|---|
| 2025-08-06 | 中国铝业(601600.SH) | 6.446940625 | 29600 | 66 | 7.53 | 222888 | 32058.56/16.8% |
| 2025-08-06 | 尖峰集团(600668.SH) | 10.189391466732 | 17571 | 66 | 12.36 | 217177.56 | 38139.76/21.303% |
| 2025-08-06 | 中远海控(601919.SH) | 13.65402391112 | 13976 | 87 | 15.63 | 218444.88 | 27616.24/14.472% |
| 2025-08-06 | 中国人保(601319.SH) | 6.771430080289 | 26500 | 108 | 8.44 | 223660 | 44217.1/24.641% |
| 2025-08-06 | 国电电力(600795.SH) | 5.0706774915271 | 45839 | 224 | 4.58 | 209942.62 | -22492.17/-9.677% |
| 2025-08-05 | 中国铝业(601600.SH) | 6.446940625 | 29600 | 65 | 7.48 | 221408 | 30578.56/16.024% |
| 2025-08-05 | 尖峰集团(600668.SH) | 10.189391466732 | 17571 | 65 | 12.32 | 216474.72 | 37436.92/20.91% |
| 2025-08-05 | 中远海控(601919.SH) | 13.65402391112 | 13976 | 86 | 15.46 | 216068.96 | 25240.32/13.227% |
| 2025-08-05 | 中国人保(601319.SH) | 6.771430080289 | 26500 | 107 | 8.4 | 222600 | 43157.1/24.051% |
| 2025-08-05 | 国电电力(600795.SH) | 5.0706774915271 | 45839 | 223 | 4.58 | 209942.62 | -22492.17/-9.677% |
交易详情
| 2025-08-01 | 中远海控(601919.SH) | 买 | 200 | 15.66 | 3132 | ¥5 | 0 |
| 2025-08-01 | 中国人保(601319.SH) | 买 | 1600 | 8.16 | 13056 | ¥5 | 0 |
| 2025-08-01 | 尖峰集团(600668.SH) | 卖 | -300 | 12.36 | -3708 | ¥8.71 | 651.18 |
| 2025-08-01 | 中国铝业(601600.SH) | 卖 | -1200 | 7.41 | -8892 | ¥13.89 | 1155.67 |
| 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 |
