运行时间 2024-04-24 09:33:07.692363

策略成本假设（双边收取的每边费率）及其它信息：

• 老虎全球配：0.28%
• 老虎安心配: 0.15%
• 四维度: 0.3%，人民币计价
• 多因子A股选股,多因子A股行业轮动,市场情绪A股行业轮动：0%，人民币计价
• 中国三维度择时分仓：0.15%，人民币计价
• 中国股指轮动_动量北向：0.05%，人民币计价
• 美股择时_IVV：0.15%
• 美股择时_QQQ：0.15%

策略配比

• 老虎全球配
• 全球配(SHV)
• 老虎安心配
• 美国新动力
• 多因子A股选股
• 多因子A股行业轮动
• 市场情绪A股行业轮动
• 中国三维度择时分仓
• 美股择时_IVV
• 美股择时_QQQ

	期末持仓(2024-04-23)	本期目标(2024-04-01)	上期目标(2024-03-01)
GLD	21.56%	20.00%
IVV	19.94%	20.00%	20.00%
QQQ	19.75%	20.00%	20.00%
IWM	19.48%	20.00%	20.00%
SCHH	19.27%	20.00%	20.00%
EMB			20.00%

	期末持仓(2024-04-23)	本期目标(2024-04-01)	上期目标(2024-03-01)
GLD	21.56%	20.00%
IVV	19.94%	20.00%	20.00%
QQQ	19.75%	20.00%	20.00%
IWM	19.48%	20.00%	20.00%
SCHH	19.27%	20.00%	20.00%
EMB			20.00%

	期末持仓(2024-04-23)	本期目标(2024-04-01)	上期目标(2024-03-01)
SHV	79.47%	78.97%	77.41%
IEF	16.28%	16.67%	16.67%
MBB	1.45%	1.48%
LQD	1.06%	1.08%	1.15%
IVV	0.90%	0.92%	1.04%
QQQ	0.85%	0.88%	0.88%
CBON			2.87%

	期末持仓(2024-04-23)	本期目标(2024-01-01)	上期目标(2023-07-01)
NVDA.O	23.71%	15.28%	5.67%
TSLA.O	12.20%	22.46%	22.94%
MSFT.O	9.89%	9.77%	14.95%
LLY.N	9.82%	8.22%
AVGO.O	6.84%	6.53%	1.94%
GOOG.O	6.49%	6.13%
UNH.N	6.25%	7.24%
AMZN.O	6.05%	5.49%	7.90%
JNJ.N	5.03%	5.61%
META.O	4.16%	3.18%
AMGN.O	2.04%	2.29%
ELV.N	1.74%	1.65%
LRCX.O	1.37%	1.29%	0.47%
KLAC.O	1.03%	0.99%	0.36%
PWR.N	0.97%	0.89%
ANET.N	0.91%	0.92%
FSLR.O	0.51%	0.52%	0.56%
BKNG.O	0.40%	0.43%	0.59%
ALB.N	0.36%	0.48%	0.72%
RIVN.O	0.23%	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(2024-04-23)	本期目标(2023-07-01)	上期目标(2023-06-01)
CITIC_HomeAppliances	20.76%	16.67%	16.67%
CITIC_NonBankFinance	18.03%	16.67%
CITIC_Food_Beverages	18.00%	16.67%	16.67%
CITIC_Machinery	15.88%	16.67%	16.67%
CITIC_Power_Equipment	14.26%	16.67%	16.67%
CITIC_Computers	13.08%	16.67%	16.67%
CITIC_Electricity_Utilities			16.67%

	期末持仓(2024-04-23)	本期目标(2024-04-24)	上期目标(2024-04-23)
CBON_Compostie	82.20%	81.82%	81.82%
CITIC_Power_Equipment	9.05%	9.09%	9.09%
CITIC_NonferrousMetals	8.75%	9.09%	9.09%

	期末持仓(2024-04-23)	本期目标(2023-10-01)	上期目标(2023-09-01)
CBON_Compostie	53.53%	50.00%	83.33%
WAC	46.47%	50.00%	16.67%

	期末持仓(2024-04-23)	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(2024-04-23)	本期目标(2023-06-07)	上期目标(2023-05-27)
QQQ	100.00%	100.00%
BIL			100.00%

统计概览

	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	7.98%	19.21%	-55.25%	0.382	0.145	2001/01/01-2024/04/23
美国6040	7.87%	10.46%	-32.69%	0.567	0.241	2003/01/01-2024/04/23
老虎全球配	8.90%	10.06%	-19.75%	0.677	0.45	2005/01/03-2024/04/23
全球配(SHV)	8.02%	9.34%	-12.30%	0.636	0.652	2005/01/03-2024/04/23
老虎安心配	4.56%	5.10%	-18.43%	0.466	0.248	2005/01/03-2024/04/23
美国新动力	23.83%	25.35%	-36.07%	0.912	0.661	2016/01/04-2024/04/23
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	20.66%	28.15%	-70.21%	0.761	0.294	2005/12/01-2024/04/23
市场情绪A股行业轮动	18.96%	8.77%	-9.27%	1.917	2.045	2010/01/04-2024/04/23
中国三维度择时分仓	14.90%	11.45%	-19.86%	1.08	0.75	2002/02/01-2024/04/23
美股择时_IVV	11.87%	12.23%	-17.14%	0.803	0.693	2008/01/03-2024/04/23
美股择时_QQQ	16.28%	15.53%	-24.89%	0.912	0.654	2008/01/18-2024/04/23

	近1月	近3月	近1年	近3年	年初至今	成立至今
标普500	-3.01%	4.63%	24.64%	27.87%	6.73%	500.10%
美国6040	-2.80%	1.76%	12.54%	9.59%	2.40%	402.95%
老虎全球配	-2.30%	0.65%	1.10%	-9.38%	-0.81%	418.78%
全球配(SHV)	-2.30%	0.65%	1.05%	-0.42%	-0.81%	343.80%
老虎安心配	-0.24%	0.51%	2.31%	-5.73%	0.39%	136.82%
美国新动力	-6.93%	4.88%	37.84%	41.29%	6.40%	490.83%
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	-4.23%	5.38%	-13.42%	-19.81%	-4.07%	3073.13%
市场情绪A股行业轮动	-0.48%	9.76%	7.11%	35.13%	5.60%	1100.60%
中国三维度择时分仓	-1.59%	3.08%	-4.36%	-3.05%	-1.48%	2097.30%
美股择时_IVV	-3.01%	4.63%	19.72%	22.69%	6.73%	523.73%
美股择时_QQQ	-4.77%	0.51%	30.74%	37.22%	3.93%	1065.44%

收益率数据

最近日频收益

	4/23	4/22	4/19	4/18	4/17	4/16	4/15	4/12	4/11	4/10	4/9	4/8	4/7	4/5	4/4	4/3	4/2	4/1
标普500	1.20%	0.92%	-0.87%	-0.23%	-0.58%	-0.19%	-1.24%	-1.40%	0.75%	-0.97%	0.12%	0.03%		1.04%	-1.23%	0.11%	-0.65%	-0.16%
美国6040	0.77%	0.55%	-0.46%	-0.28%	-0.09%	-0.27%	-1.00%	-0.68%	0.39%	-1.11%	0.23%	-0.07%		0.36%	-0.60%	0.11%	-0.48%	-0.46%
老虎全球配	0.97%	0.18%	-0.37%	-0.08%	-0.87%	-0.34%	-0.78%	-1.40%	1.06%	-1.88%	0.57%	0.46%		0.98%	-1.01%	0.38%	-0.61%	-0.40%
全球配(SHV)	0.97%	0.18%	-0.37%	-0.08%	-0.87%	-0.34%	-0.78%	-1.40%	1.06%	-1.88%	0.57%	0.46%		0.98%	-1.01%	0.38%	-0.61%	-0.40%
老虎安心配	0.07%	0.03%	0.01%	-0.03%	0.12%	-0.07%	-0.15%	0.06%	0.03%	-0.28%	0.09%	-0.03%		-0.10%	0.09%	0.03%	-0.04%	-0.17%
美国新动力	1.95%	0.93%	-3.60%	-0.46%	-1.43%	0.32%	-2.07%	-1.93%	1.80%	-0.31%	-0.24%	0.34%		1.11%	-1.56%	0.41%	-1.60%	0.15%
多因子A股选股
多因子A股行业轮动	-0.23%	-0.20%	-0.95%	0.49%	2.77%	-2.36%	1.06%	-0.99%	0.28%	-1.48%	0.15%	-1.96%				-0.82%	-0.64%	2.17%
市场情绪A股行业轮动	-0.34%	-0.15%	-0.10%	0.10%	0.05%	0.02%	0.06%	-0.03%	0.00%	-0.12%	0.05%	0.05%	0.03%			-0.08%	-0.10%	0.06%
中国三维度择时分仓	-0.15%	-0.16%	-0.26%	0.07%	1.44%	-1.38%	0.16%	-0.28%	0.08%	-0.63%	0.28%	-0.64%	0.02%			-0.19%	-0.17%	0.88%
美股择时_IVV	1.20%	0.92%	-0.87%	-0.23%	-0.58%	-0.19%	-1.24%	-1.40%	0.75%	-0.97%	0.12%	0.03%		1.04%	-1.23%	0.11%	-0.65%	-0.16%
美股择时_QQQ	1.49%	1.01%	-2.07%	-0.57%	-1.22%	0.01%	-1.65%	-1.59%	1.60%	-0.87%	0.37%	0.03%		1.18%	-1.53%	0.22%	-0.86%	0.21%

近1年各月收益率

	2024/4	2024/3	2024/2	2024/1	2023/12	2023/11	2023/10	2023/9	2023/8	2023/7	2023/6	2023/5
标普500	-3.34%	3.32%	5.20%	1.58%	4.62%	9.16%	-2.21%	-4.70%	-1.63%	3.25%	6.60%	0.42%
美国6040	-3.07%	2.28%	2.29%	0.98%	4.27%	7.32%	-2.10%	-4.07%	-1.27%	1.68%	3.46%	-0.32%
老虎全球配	-3.16%	2.15%	2.66%	-2.33%	1.70%	4.39%	-2.02%	-3.54%	-2.22%	1.98%	1.86%	-0.79%
全球配(SHV)	-3.16%	2.15%	2.66%	-2.33%	1.70%	0.80%	-0.26%	-2.50%	-2.22%	2.13%	2.37%	-0.53%
老虎安心配	-0.35%	0.48%	0.02%	0.24%	2.10%	3.91%	-1.59%	-2.21%	-0.04%	-0.10%	-0.41%	0.04%
美国新动力	-6.18%	2.49%	11.19%	-0.47%	5.08%	10.64%	-4.07%	-3.72%	-0.38%	1.08%	10.84%	7.72%
多因子A股选股	0.00%	0.00%	7.15%	-8.01%	-1.12%	0.83%	-3.90%	-1.21%	-6.44%	2.44%	1.54%	-0.72%
多因子A股行业轮动	-2.83%	0.90%	10.46%	-11.42%	-1.92%	-0.19%	-3.92%	-2.34%	-5.28%	2.36%	4.54%	-3.11%
市场情绪A股行业轮动	-0.49%	2.41%	9.95%	-5.76%	0.72%	1.01%	-0.15%	-1.74%	1.08%	0.58%	0.87%	-0.68%
中国三维度择时分仓	-0.96%	0.57%	4.76%	-5.59%	-0.50%	0.38%	-1.19%	-0.84%	-3.51%	1.76%	1.18%	-0.27%
美股择时_IVV	-3.34%	3.32%	5.20%	1.58%	4.62%	9.16%	-2.21%	-4.70%	-1.63%	3.25%	3.88%	0.74%
美股择时_QQQ	-4.27%	1.27%	5.28%	1.82%	5.59%	10.82%	-2.07%	-5.08%	-1.48%	3.86%	4.15%	8.00%

分年收益率

	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	6.73%	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	2.40%	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	-0.81%	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)	-0.81%	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	0.39%	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	6.40%	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	-4.07%	-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	5.60%	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	-1.48%	-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	6.73%	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	3.93%	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%

滚动1年复合收益率