运行时间 2024-11-21 09:33:55.536628
策略成本假设（双边收取的每边费率）及其它信息：
| 期末持仓(2024-11-20) | 本期目标(2024-11-01) | 上期目标(2024-10-01) | |
|---|---|---|---|
| QQQ | 20.60% | 20.00% | |
| IVV | 20.58% | 20.00% | 20.00% |
| SCHH | 19.90% | 20.00% | 20.00% |
| ASHR | 19.81% | 20.00% | 20.00% |
| GLD | 19.11% | 20.00% | 20.00% |
| VNQI | 20.00% |
| 期末持仓(2024-11-20) | 本期目标(2024-11-01) | 上期目标(2024-10-01) | |
|---|---|---|---|
| QQQ | 20.60% | 20.00% | |
| IVV | 20.58% | 20.00% | 20.00% |
| SCHH | 19.90% | 20.00% | 20.00% |
| ASHR | 19.81% | 20.00% | 20.00% |
| GLD | 19.11% | 20.00% | 20.00% |
| VNQI | 20.00% |
| 期末持仓(2024-11-20) | 本期目标(2024-11-01) | 上期目标(2024-10-01) | |
|---|---|---|---|
| CBON | 40.32% | 41.11% | |
| LQD | 16.94% | 17.07% | 21.19% |
| IVV | 16.63% | 16.11% | 18.33% |
| QQQ | 14.22% | 13.76% | 15.81% |
| ASHR | 11.89% | 11.96% | 16.38% |
| MBB | 28.29% |
| 期末持仓(2024-11-14) | 本期目标(2024-01-01) | 上期目标(2023-07-01) | |
|---|---|---|---|
| NVDA.O | 29.99% | 15.28% | 5.67% |
| TSLA.O | 18.63% | 22.46% | 22.94% |
| MSFT.O | 7.38% | 9.77% | 14.95% |
| LLY.N | 7.38% | 8.22% | |
| AVGO.O | 6.67% | 6.53% | 1.94% |
| UNH.N | 5.46% | 7.24% | |
| GOOG.O | 5.12% | 6.13% | |
| AMZN.O | 5.06% | 5.49% | 7.90% |
| JNJ.N | 3.68% | 5.61% | |
| META.O | 3.44% | 3.18% | |
| AMGN.O | 1.59% | 2.29% | |
| ANET.N | 0.99% | 0.92% | |
| ELV.N | 0.95% | 1.65% | |
| PWR.N | 0.89% | 0.89% | |
| LRCX.O | 0.82% | 1.29% | 0.47% |
| KLAC.O | 0.73% | 0.99% | 0.36% |
| BKNG.O | 0.40% | 0.43% | 0.59% |
| FSLR.O | 0.39% | 0.52% | 0.56% |
| ALB.N | 0.23% | 0.48% | 0.72% |
| RIVN.O | 0.19% | 0.64% | |
| VRTX.O | 9.73% | ||
| EXAS.O | 1.82% | ||
| REGN.O | 8.46% | ||
| SGEN.O | 3.87% | ||
| APLS.O | 1.11% | ||
| LTHM.N | 0.14% | ||
| ENPH.O | 0.63% | ||
| AAPL.O | 16.56% | ||
| CRM.N | 1.21% | ||
| FTNT.O | 0.35% |
| 期末持仓(2024-02-28) | 本期目标(2023-07-01) | 上期目标(2023-06-01) | |
|---|---|---|---|
| 002673.SZ | 2.30% | 1.67% | |
| 000157.SZ | 2.25% | 1.67% | |
| 600066.SH | 2.20% | 1.67% | 1.72% |
| 603505.SH | 2.19% | 1.67% | |
| 600660.SH | 2.19% | 1.67% | |
| 002611.SZ | 2.15% | 1.67% | 1.72% |
| 603530.SH | 2.14% | 1.67% | |
| 601229.SH | 2.11% | 1.67% | |
| 601108.SH | 2.03% | 1.67% | |
| 600674.SH | 2.01% | 1.67% | 1.72% |
| 600642.SH | 1.98% | 1.67% | 1.72% |
| 000333.SZ | 1.96% | 1.67% | |
| 000750.SZ | 1.92% | 1.67% | 1.72% |
| 000685.SZ | 1.88% | 1.67% | 1.72% |
| 600612.SH | 1.87% | 1.67% | 1.72% |
| 603156.SH | 1.85% | 1.67% | 1.72% |
| 601163.SH | 1.84% | 1.67% | 1.72% |
| 000951.SZ | 1.81% | 1.67% | |
| 600011.SH | 1.79% | 1.67% | 1.72% |
| 601966.SH | 1.78% | 1.67% | |
| 002939.SZ | 1.78% | 1.67% | 1.72% |
| 600061.SH | 1.77% | 1.67% | 1.72% |
| 000030.SZ | 1.76% | 1.67% | |
| 002233.SZ | 1.72% | 1.67% | |
| 601319.SH | 1.70% | 1.67% | 1.72% |
| 002595.SZ | 1.69% | 1.67% | 1.72% |
| 002422.SZ | 1.69% | 1.67% | 1.72% |
| 603367.SH | 1.68% | 1.67% | 1.72% |
| 688626.SH | 1.68% | 1.67% | |
| 601727.SH | 1.68% | 1.67% | 1.72% |
| 601336.SH | 1.67% | 1.67% | |
| 600845.SH | 1.67% | 1.67% | |
| 601139.SH | 1.66% | 1.67% | |
| 603466.SH | 1.64% | 1.67% | 1.72% |
| 600167.SH | 1.63% | 1.67% | |
| 600897.SH | 1.60% | 1.67% | |
| 601100.SH | 1.60% | 1.67% | 1.72% |
| 600323.SH | 1.58% | 1.67% | 1.72% |
| 603233.SH | 1.58% | 1.67% | |
| 002641.SZ | 1.56% | 1.67% | 1.72% |
| 600517.SH | 1.55% | 1.67% | 1.72% |
| 002336.SZ | 1.51% | 1.67% | |
| 002283.SZ | 1.51% | 1.67% | |
| 688568.SH | 1.47% | 1.67% | 1.72% |
| 600846.SH | 1.44% | 1.67% | |
| 002367.SZ | 1.40% | 1.67% | 1.72% |
| 000811.SZ | 1.37% | 1.67% | 1.72% |
| 002880.SZ | 1.36% | 1.67% | |
| 002062.SZ | 1.34% | 1.67% | |
| 688006.SH | 1.33% | 1.67% | |
| 000028.SZ | 1.33% | 1.67% | |
| 000690.SZ | 1.32% | 1.67% | |
| 300470.SZ | 1.31% | 1.67% | 1.72% |
| 002489.SZ | 1.22% | 1.67% | |
| 605168.SH | 1.21% | 1.67% | |
| 300855.SZ | 1.19% | 1.67% | |
| 688390.SH | 1.17% | 1.67% | |
| 603129.SH | 1.15% | 1.67% | |
| 605300.SH | 1.14% | 1.67% | |
| 300206.SZ | 1.10% | 1.67% | |
| 605117.SH | 1.72% | ||
| 002847.SZ | 1.72% | ||
| 603605.SH | 1.72% | ||
| 600161.SH | 1.72% | ||
| 600610.SH | 1.72% | ||
| 300760.SZ | 1.72% | ||
| 002372.SZ | 1.72% | ||
| 600221.SH | 1.72% | ||
| 603927.SH | 1.72% | ||
| 601766.SH | 1.72% | ||
| 600570.SH | 1.72% | ||
| 600026.SH | 1.72% | ||
| 002690.SZ | 1.72% | ||
| 002605.SZ | 1.72% | ||
| 601607.SH | 1.72% | ||
| 600329.SH | 1.72% | ||
| 601816.SH | 1.72% | ||
| 600835.SH | 1.72% | ||
| 600886.SH | 1.72% | ||
| 600271.SH | 1.72% | ||
| 300750.SZ | 1.72% | ||
| 000729.SZ | 1.72% | ||
| 601006.SH | 1.72% | ||
| 603737.SH | 1.72% | ||
| 600406.SH | 1.72% | ||
| 688131.SH | 1.72% | ||
| 002371.SZ | 1.72% | ||
| 688002.SH | 1.72% | ||
| 300487.SZ | 1.72% | ||
| 603118.SH | 1.72% | ||
| 600900.SH | 1.72% | ||
| 000783.SZ | 1.72% |
| 期末持仓(2024-11-20) | 本期目标(2023-07-01) | 上期目标(2023-06-01) | |
|---|---|---|---|
| CITIC_NonBankFinance | 21.89% | 16.67% | |
| CITIC_HomeAppliances | 19.27% | 16.67% | 16.67% |
| CITIC_Machinery | 15.17% | 16.67% | 16.67% |
| CITIC_Computers | 15.17% | 16.67% | 16.67% |
| CITIC_Food_Beverages | 14.44% | 16.67% | 16.67% |
| CITIC_Power_Equipment | 14.05% | 16.67% | 16.67% |
| CITIC_Electricity_Utilities | 16.67% |
| 期末持仓(2024-11-20) | 本期目标(2024-11-21) | 上期目标(2024-11-20) | |
|---|---|---|---|
| CBON_Compostie | 90.86% | 100.00% | 90.91% |
| CITIC_HomeAppliances | 9.14% | 9.09% |
| 期末持仓(2024-11-20) | 本期目标(2023-10-01) | 上期目标(2023-09-01) | |
|---|---|---|---|
| WAC | 50.55% | 50.00% | 16.67% |
| CBON_Compostie | 49.45% | 50.00% | 83.33% |
| 期末持仓(2024-11-20) | 本期目标(2023-06-07) | 上期目标(2023-05-27) | |
|---|---|---|---|
| IVV | 100.00% | 100.00% | |
| BIL | 100.00% |
| 期末持仓(2024-11-20) | 本期目标(2023-06-07) | 上期目标(2023-05-27) | |
|---|---|---|---|
| QQQ | 100.00% | 100.00% | |
| BIL | 100.00% |
| 年化复合收益率 | 年化波动率 | 最大回撤 | 夏普比率 | 收益回撤比 | 回测区间 | |
|---|---|---|---|---|---|---|
| 标普500 | 8.52% | 19.08% | -55.25% | 0.41 | 0.154 | 2001/01/01-2024/11/20 |
| 美国6040 | 8.21% | 10.41% | -32.69% | 0.601 | 0.251 | 2003/01/01-2024/11/20 |
| 老虎全球配 | 9.16% | 10.19% | -19.75% | 0.696 | 0.464 | 2005/01/03-2024/11/20 |
| 全球配(SHV) | 8.30% | 9.49% | -12.30% | 0.657 | 0.675 | 2005/01/03-2024/11/20 |
| 老虎安心配 | 4.53% | 5.15% | -18.43% | 0.46 | 0.246 | 2005/01/03-2024/11/20 |
| 美国新动力 | 26.98% | 25.59% | -36.07% | 1.004 | 0.748 | 2016/01/04-2024/11/14 |
| 多因子A股选股 | 24.45% | 25.13% | -47.35% | 0.958 | 0.516 | 2010/07/01-2024/02/28 |
| 多因子A股行业轮动 | 21.25% | 28.19% | -70.21% | 0.772 | 0.303 | 2005/12/01-2024/11/20 |
| 市场情绪A股行业轮动 | 18.70% | 9.12% | -9.27% | 1.798 | 2.016 | 2010/01/04-2024/11/20 |
| 中国三维度择时分仓 | 15.01% | 11.49% | -19.86% | 1.087 | 0.756 | 2002/02/01-2024/11/20 |
| 美股择时_IVV | 12.52% | 12.26% | -17.14% | 0.85 | 0.73 | 2008/01/03-2024/11/20 |
| 美股择时_QQQ | 16.87% | 15.66% | -24.89% | 0.939 | 0.678 | 2008/01/18-2024/11/20 |
| 近1月 | 近3月 | 近1年 | 近3年 | 年初至今 | 成立至今 | |
|---|---|---|---|---|---|---|
| 标普500 | 1.02% | 6.05% | 31.87% | 32.70% | 25.50% | 605.64% |
| 美国6040 | -0.25% | 2.26% | 20.30% | 13.44% | 14.71% | 463.38% |
| 老虎全球配 | -1.22% | 2.34% | 11.98% | -6.21% | 9.27% | 471.47% |
| 全球配(SHV) | -1.22% | 2.34% | 11.36% | 3.37% | 9.27% | 388.88% |
| 老虎安心配 | -1.33% | 0.13% | 5.20% | -6.76% | 2.32% | 141.38% |
| 美国新动力 | 5.64% | 15.15% | 58.41% | 63.46% | 49.83% | 731.99% |
| 多因子A股选股 | 1.00% | -3.11% | -8.79% | -16.96% | -1.44% | 1889.75% |
| 多因子A股行业轮动 | 5.09% | 34.72% | 11.32% | -2.24% | 17.29% | 3779.50% |
| 市场情绪A股行业轮动 | 1.17% | 10.51% | 12.80% | 29.89% | 12.89% | 1183.44% |
| 中国三维度择时分仓 | 3.03% | 13.08% | 7.34% | 3.98% | 9.13% | 2333.85% |
| 美股择时_IVV | 1.02% | 6.05% | 31.87% | 27.32% | 25.50% | 633.42% |
| 美股择时_QQQ | 1.76% | 4.92% | 29.66% | 36.57% | 23.40% | 1283.73% |
| 11/20 | 11/19 | 11/18 | 11/15 | 11/14 | 11/13 | 11/12 | 11/11 | 11/8 | 11/7 | 11/6 | 11/5 | 11/4 | 11/1 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 标普500 | 0.05% | 0.35% | 0.42% | -1.27% | -0.66% | 0.07% | -0.31% | 0.08% | 0.44% | 0.78% | 2.48% | 1.21% | -0.20% | 0.43% |
| 美国6040 | -0.03% | 0.30% | 0.34% | -0.76% | -0.41% | 0.02% | -0.43% | -0.06% | 0.35% | 0.79% | 1.09% | 0.75% | 0.09% | 0.02% |
| 老虎全球配 | 0.09% | 0.47% | 0.77% | -0.94% | -0.94% | 0.13% | -0.86% | -0.22% | -0.96% | 2.13% | -0.39% | 1.45% | 0.44% | -0.25% |
| 全球配(SHV) | 0.09% | 0.47% | 0.77% | -0.94% | -0.94% | 0.13% | -0.86% | -0.22% | -0.96% | 2.13% | -0.39% | 1.45% | 0.44% | -0.25% |
| 老虎安心配 | -0.08% | 0.25% | 0.15% | -0.55% | -0.54% | 0.05% | -0.51% | 0.02% | -0.77% | 1.53% | -0.14% | 0.71% | 0.49% | -0.12% |
| 美国新动力 | -1.75% | -0.48% | -1.06% | 1.00% | 1.34% | 2.11% | 4.37% | 2.11% | -0.72% | 0.88% | ||||
| 多因子A股选股 | ||||||||||||||
| 多因子A股行业轮动 | 0.85% | 1.72% | -2.12% | -2.69% | -1.82% | 0.43% | -1.26% | 1.15% | -0.48% | 3.65% | -0.50% | 3.20% | 2.12% | -1.82% |
| 市场情绪A股行业轮动 | 0.05% | 0.41% | -0.77% | -0.86% | -0.85% | 0.24% | -0.32% | 0.32% | 0.03% | 0.33% | 0.18% | 0.82% | 0.51% | -0.73% |
| 中国三维度择时分仓 | 0.56% | 0.79% | -0.76% | -1.06% | -1.25% | 0.14% | -0.56% | 0.76% | -0.17% | 1.31% | 0.07% | 1.50% | 0.88% | -0.72% |
| 美股择时_IVV | 0.05% | 0.35% | 0.42% | -1.27% | -0.66% | 0.07% | -0.31% | 0.08% | 0.44% | 0.78% | 2.48% | 1.21% | -0.20% | 0.43% |
| 美股择时_QQQ | -0.06% | 0.69% | 0.69% | -2.38% | -0.69% | -0.13% | -0.18% | -0.06% | 0.12% | 1.57% | 2.72% | 1.28% | -0.29% | 0.74% |
| 2024/11 | 2024/10 | 2024/9 | 2024/8 | 2024/7 | 2024/6 | 2024/5 | 2024/4 | 2024/3 | 2024/2 | 2024/1 | 2023/12 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 标普500 | 3.89% | -0.97% | 2.17% | 2.43% | 1.11% | 3.57% | 5.06% | -4.05% | 3.32% | 5.20% | 1.58% | 4.62% |
| 美国6040 | 2.06% | -1.94% | 1.86% | 1.99% | 1.83% | 2.62% | 3.75% | -3.68% | 2.28% | 2.29% | 0.98% | 4.27% |
| 老虎全球配 | 0.86% | -2.46% | 2.75% | 1.79% | 2.79% | 1.69% | 3.42% | -4.09% | 2.15% | 2.66% | -2.33% | 1.70% |
| 全球配(SHV) | 0.86% | -2.46% | 2.75% | 1.79% | 2.79% | 1.69% | 3.42% | -4.09% | 2.15% | 2.66% | -2.33% | 1.70% |
| 老虎安心配 | 0.47% | -2.57% | 2.57% | -0.90% | 0.89% | 0.49% | 1.07% | -0.39% | 0.48% | 0.02% | 0.24% | 2.10% |
| 美国新动力 | 7.90% | -0.11% | 4.05% | 1.30% | -0.56% | 9.62% | 9.24% | -2.34% | 2.49% | 11.19% | -0.47% | 5.08% |
| 多因子A股选股 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 7.15% | -8.01% | -1.12% |
| 多因子A股行业轮动 | 2.21% | 1.77% | 27.42% | -3.19% | 0.42% | -6.87% | -2.54% | 1.58% | 0.90% | 10.46% | -11.42% | -1.92% |
| 市场情绪A股行业轮动 | -0.67% | 2.87% | 8.33% | -1.72% | -1.50% | -0.86% | 0.06% | 0.06% | 2.41% | 9.95% | -5.76% | 0.72% |
| 中国三维度择时分仓 | 1.46% | 1.22% | 9.94% | -1.78% | 0.54% | -1.96% | -0.33% | 0.69% | 0.57% | 4.76% | -5.59% | -0.50% |
| 美股择时_IVV | 3.89% | -0.97% | 2.17% | 2.43% | 1.11% | 3.57% | 5.06% | -4.05% | 3.32% | 5.20% | 1.58% | 4.62% |
| 美股择时_QQQ | 3.99% | -0.86% | 2.62% | 1.10% | -1.68% | 6.47% | 6.15% | -4.37% | 1.27% | 5.28% | 1.82% | 5.59% |
| 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 标普500 | 25.50% | 26.32% | -17.64% | 28.76% | 18.40% | 31.25% | -4.47% | 21.76% | 12.15% | 1.30% | 13.57% | 32.30% | 16.06% | 1.86% | 15.09% | 26.60% | -37.02% | 5.29% | 15.94% | 4.87% | 10.79% | 28.00% | -21.55% | -11.95% |
| 美国6040 | 14.71% | 16.83% | -16.29% | 15.05% | 16.01% | 21.78% | -1.99% | 13.73% | 7.80% | 1.67% | 11.83% | 15.56% | 11.16% | 7.61% | 13.49% | 12.70% | -18.22% | 7.49% | 10.42% | 4.09% | 8.17% | 17.05% | ||
| 老虎全球配 | 9.27% | 3.75% | -17.33% | 15.01% | 16.46% | 2.93% | 0.98% | 13.48% | 1.25% | 0.72% | 16.90% | 3.51% | 5.58% | 5.61% | 13.51% | 16.33% | 9.71% | 36.97% | 37.42% | 2.89% | ||||
| 全球配(SHV) | 9.27% | 0.06% | -5.62% | 14.90% | 13.15% | 3.35% | -1.21% | 12.29% | -1.60% | -1.49% | 15.03% | 4.86% | 4.43% | 3.65% | 11.90% | 19.90% | -1.79% | 35.67% | 37.24% | 2.38% | ||||
| 老虎安心配 | 2.32% | 7.12% | -15.27% | 3.40% | 8.92% | 5.84% | 3.47% | 8.02% | 2.58% | -0.39% | 13.20% | 0.59% | 4.96% | 7.15% | 1.91% | 4.93% | 12.48% | 9.73% | 8.91% | 3.72% | ||||
| 美国新动力 | 49.83% | 51.50% | -31.08% | 35.04% | 131.95% | 26.90% | -4.49% | 37.82% | 1.65% | |||||||||||||||
| 多因子A股选股 | -1.44% | -3.32% | -28.89% | 27.79% | 43.49% | 36.77% | -9.40% | 37.13% | 4.27% | 135.52% | 47.65% | 46.27% | 34.91% | -17.91% | 60.45% | |||||||||
| 多因子A股行业轮动 | 17.29% | -10.35% | -8.60% | 15.58% | 59.19% | 35.07% | -21.20% | 17.46% | -15.52% | 99.87% | 39.40% | 34.11% | 11.70% | -17.20% | 15.02% | 93.27% | -58.40% | 182.03% | 121.45% | 4.06% | ||||
| 市场情绪A股行业轮动 | 12.89% | 5.07% | 8.70% | 12.41% | 17.99% | 28.84% | 12.24% | 3.59% | 9.93% | 60.15% | 33.19% | 23.87% | 17.38% | 19.44% | 23.02% | |||||||||
| 中国三维度择时分仓 | 9.13% | -1.02% | -4.69% | 4.74% | 12.99% | 19.27% | 0.52% | 2.52% | 17.50% | 71.27% | 23.73% | 6.66% | 9.23% | -7.55% | -0.00% | 59.41% | 1.81% | 113.96% | 59.66% | 4.35% | 0.24% | 2.01% | 2.42% | |
| 美股择时_IVV | 25.50% | 16.13% | -14.05% | 29.47% | 16.78% | 22.74% | 2.17% | 21.76% | 17.02% | -5.36% | 11.01% | 32.30% | 9.58% | -0.37% | 5.33% | 35.65% | -0.05% | |||||||
| 美股择时_QQQ | 23.40% | 45.14% | -22.67% | 27.33% | 61.50% | 26.73% | 1.98% | 32.67% | 6.10% | 2.33% | 16.33% | 36.63% | 12.50% | -9.53% | 11.12% | 48.97% | -2.55% |