| 基金代码 | 基金全名 | 基金简称 | 基金类型 |
|---|---|---|---|
| 510090 | 上证社会责任交易型开放式指数证券投资基金 | 建信上证社会责任ETF | 场内基金 |
| 530010 | 建信上证社会责任交易型开放式指数证券投资基金联接基金 | 建信上证社会责任ETF联接 | 场外基金 |
当前策略在责任指数的回测中表现出卓越的综合性能。该策略基于估值模型，专注于长线投资，利用PE、PB和股息率等指标进行估值，适合社会责任指数的稳健特性，因为它强调长期价值而非短期波动。年化收益率达到6.25%，是所选策略中最高的，表明有较强的增长潜力。夏普比率高达22.21%，显示风险调整后回报优秀，能有效捕捉市场机会同时控制下行风险。最大回撤控制在23.17%，相对较低，减少了潜在损失，这对于长线投资至关重要，因为它维护了资本稳定性。波动率为16.15%，保持在适中水平，有助于平滑投资过程，避免过度波动带来的不确定性。持仓天数占比49.40%，操作频率适中，符合中长线操作的偏好，避免了频繁交易带来的额外成本和复杂性。相比于其他策略，该策略在收益、风险调整和回撤控制方面均表现突出，为责任指数的长期稳健投资提供了最优平衡，适合追求稳健增长和风险管理的投资者需求。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2016-05-19 | 1095.2905 | buy | 91.29997932055468 | 100000.0 |
| 2017-02-21 | 1278.3273 | sell | 91.29997932055468 | 116711.2560549005 |
| 2017-03-20 | 1258.9727 | buy | 92.70356383017717 | 116711.2560549005 |
| 2017-07-19 | 1421.5553 | sell | 92.70356383017717 | 131783.24249167665 |
| 2018-04-17 | 1389.0341 | buy | 94.87401532595682 | 131783.24249167665 |
| 2019-04-02 | 1541.59 | sell | 94.87401532595682 | 146256.83328634177 |
| 2019-05-06 | 1454.66 | buy | 100.54365507152308 | 146256.83328634177 |
| 2020-11-19 | 1608.3 | sell | 100.54365507152308 | 161704.36045153055 |
| 2021-07-27 | 1430.47 | buy | 113.04281841040395 | 161704.36045153055 |
| 2021-09-09 | 1565.69 | sell | 113.04281841040395 | 176990.01035698538 |
| 2021-11-09 | 1481.45 | buy | 119.47079574537472 | 176990.01035698538 |
| 2022-01-20 | 1565.82 | sell | 119.47079574537472 | 187069.76139402264 |
| 2022-01-28 | 1528.19 | buy | 122.41263284933329 | 187069.76139402264 |
| 2022-02-11 | 1531.61 | sell | 122.41263284933329 | 187488.41259836734 |
| 2022-03-07 | 1415.63 | buy | 132.441677979675 | 187488.41259836734 |
当前策略在责任指数的回测中表现出色，综合考量了指数数据和操作风格。责任指数作为社会责任投资标的，通常具有较低的波动性和稳定的长期回报潜力，而该策略通过布林线模型，设置了较长的周期（period=25）和较高的卖出阈值（sell=0.95），实现了较高的持仓占比（55.84%），这意味着更少的交易频率和更符合中长线投资的风格偏好。在性能指标上，当前策略的年化收益率（8.93%）在所有策略中处于较高水平，表明盈利能力良好；虽然最大回撤（19.27%）和波动率（14.38%）相对较高，但夏普比率（41.00%）和Sortino比率（46.05%）显示风险调整后收益处于可接受范围，且Calmar比率（78.92%）支持了收益与风险的平衡。其他策略如那些持仓占比低于30%的，虽然夏普比率更高（如49.19%），但操作频率较高，不符合中长线偏好；而持仓占比更高的策略（如超过65%）在年化收益率和风险指标上表现较差。因此，当前策略在兼顾收益稳定性和操作频率方面提供了最佳平衡，适合责任指数的长期投资目标。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2016-05-06 | 1093.4398 | buy | 91.45450897251041 | 100000.0 |
| 2016-07-12 | 1143.9518 | sell | 91.45450897251041 | 104619.55015721943 |
| 2016-09-14 | 1173.8622 | buy | 89.12421761022668 | 104619.55015721943 |
| 2016-10-24 | 1210.9052 | sell | 89.12421761022668 | 107920.97855015505 |
| 2016-12-20 | 1219.7763 | buy | 88.47604150872176 | 107920.97855015505 |
| 2017-04-05 | 1284.0465 | sell | 88.47604150872176 | 113607.35143312889 |
| 2017-05-05 | 1232.83 | buy | 92.15167657595038 | 113607.35143312889 |
| 2017-05-25 | 1306.18 | sell | 92.15167657595038 | 120366.67690997486 |
| 2017-08-11 | 1365.755 | buy | 88.13196869861348 | 120366.67690997486 |
| 2017-10-18 | 1448.6408 | sell | 88.13196869861348 | 127671.56564113438 |
| 2018-02-08 | 1442.0279 | buy | 88.53612724215279 | 127671.56564113438 |
| 2018-09-21 | 1330.66 | sell | 88.53612724215279 | 117811.48307604303 |
| 2018-12-19 | 1220.21 | buy | 96.55017011501548 | 117811.48307604303 |
| 2019-02-25 | 1416.82 | sell | 96.55017011501548 | 136794.21202235622 |
| 2019-05-06 | 1454.66 | buy | 94.03861522442098 | 136794.21202235622 |
| 2019-06-20 | 1502.77 | sell | 94.03861522442098 | 141318.4098008031 |
| 2019-08-05 | 1413.35 | buy | 99.98826178993393 | 141318.4098008031 |
| 2019-09-06 | 1502.86 | sell | 99.98826178993393 | 150268.3591136201 |
| 2019-11-21 | 1436.53 | buy | 104.60509638755899 | 150268.3591136201 |
| 2019-12-17 | 1493.95 | sell | 104.60509638755899 | 156274.78374819376 |
| 2020-01-23 | 1345.86 | buy | 116.11518564203838 | 156274.78374819376 |
| 2020-04-29 | 1355.9 | sell | 116.11518564203838 | 157440.58021203984 |
| 2020-05-22 | 1297.28 | buy | 121.36206540765282 | 157440.58021203984 |
| 2020-07-02 | 1438.3 | sell | 121.36206540765282 | 174555.05867582705 |
| 2020-12-22 | 1578.88 | buy | 110.5562542282042 | 174555.05867582705 |
| 2021-01-12 | 1696.01 | sell | 110.5562542282042 | 187504.5127335766 |
| 2021-04-15 | 1601.33 | buy | 117.09298691311385 | 187504.5127335766 |
| 2021-05-25 | 1673.23 | sell | 117.09298691311385 | 195923.49849262947 |
| 2021-06-17 | 1570.66 | buy | 124.73959895370702 | 195923.49849262947 |
| 2021-09-07 | 1551.87 | sell | 124.73959895370702 | 193579.6414282893 |
| 2021-11-10 | 1518.11 | buy | 127.51358032572693 | 193579.6414282893 |
| 2021-12-07 | 1543.34 | sell | 127.51358032572693 | 196796.8090599074 |
| 2022-01-27 | 1484.05 | buy | 132.6079371044826 | 196796.8090599074 |
| 2022-06-15 | 1403.6 | sell | 132.6079371044826 | 186128.50051985178 |
| 2022-07-14 | 1340.47 | buy | 138.85316383048615 | 186128.50051985178 |
| 2022-09-09 | 1348.11 | sell | 138.85316383048615 | 187189.33869151666 |
| 2022-09-22 | 1279.96 | buy | 146.24624104778013 | 187189.33869151666 |
| 2023-04-17 | 1403.93 | sell | 146.24624104778013 | 205319.48519420996 |
| 2023-05-24 | 1321.91 | buy | 155.3203207436285 | 205319.48519421 |
| 2023-07-28 | 1382.15 | sell | 155.3203207436285 | 214675.98131580616 |
| 2023-08-21 | 1287.58 | buy | 166.72826645008945 | 214675.98131580616 |
| 2024-01-25 | 1180.77 | sell | 166.72826645008945 | 196867.7351762721 |
| 2024-03-22 | 1218.2 | buy | 161.6054302875325 | 196867.7351762721 |