| 基金代码 | 基金全名 | 基金简称 | 基金类型 |
|---|---|---|---|
| 501059 | 西部利得中证国有企业红利指数增强型证券投资基金(LOF) | 西部利得国企红利指数增强A（场内简称：国企红利LOF） | 场内基金 |
| 009439 | 西部利得中证国有企业红利指数增强型证券投资基金(LOF) | 西部利得国企红利指数增强C | 场外基金 |
| 159515 | 鹏扬中证国有企业红利交易型开放式指数证券投资基金 | 鹏扬中证国有企业红利ETF | 场内基金 |
| 561060 | 华安中证国有企业红利交易型开放式指数证券投资基金 | 华安中证国有企业红利ETF | 场内基金 |
| 020461 | 华安中证国有企业红利交易型开放式指数证券投资基金发起式联接基金 | 华安中证国有企业红利ETF发起式联接A | 场外基金 |
| 020115 | 鹏扬中证国有企业红利交易型开放式指数证券投资基金联接基金 | 鹏扬中证国有企业红利ETF联接A | 场外基金 |
| 020462 | 华安中证国有企业红利交易型开放式指数证券投资基金发起式联接基金 | 华安中证国有企业红利ETF发起式联接C | 场外基金 |
| 020116 | 鹏扬中证国有企业红利交易型开放式指数证券投资基金联接基金 | 鹏扬中证国有企业红利ETF联接C | 场外基金 |
| 563890 | 创金合信中证国有企业红利交易型开放式指数证券投资基金 | 创金合信中证国有企业红利ETF | 场内基金 |
当前策略针对国企红利指数，该指数以高股息和价值特性著称，适合采用估值模型进行长线投资，能有效利用PE、PB和股息率等指标进行综合评估。在比较各策略回测结果时，该策略展现出最高的年化收益率、夏普比率、Sortino比率和Calmar比率，同时最大回撤与其他策略一致，表明风险控制良好；波动率与其他策略相近，在可接受范围内。持仓占比高，反映较少的操作频率，符合中长线投资风格，减少了交易成本并增强了稳定性。综合考虑收益率、风险调整回报和操作频率，该策略为最优选择，能更好地捕捉指数价值并管理下行风险，适合在当前市场环境下执行。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2016-05-09 | 1277.8521 | buy | 78.25631776948208 | 100000.0 |
| 2016-11-29 | 1508.0189 | sell | 78.25631776948208 | 118012.00624078482 |
| 2016-12-15 | 1433.17 | buy | 82.34334115337664 | 118012.0062407848 |
| 2017-06-23 | 1644.5135 | sell | 82.34334115337664 | 135414.73616183345 |
| 2018-06-27 | 1511.425 | buy | 89.59408251275019 | 135414.73616183345 |
| 2019-04-16 | 1920.2193 | sell | 89.59408251275019 | 172040.2864067754 |
| 2019-05-06 | 1722.1599 | buy | 99.89797486677945 | 172040.2864067754 |
| 2023-04-28 | 2106.62 | sell | 99.89797486677945 | 210447.0718138549 |
| 2023-10-30 | 1887.43 | buy | 111.49927245717981 | 210447.0718138549 |
| 2024-01-25 | 1947.52 | sell | 111.49927245717981 | 217147.06309580684 |
当前策略在回测中表现出优秀的综合性能，年化收益率较高，夏普比率突出，表明风险调整后收益优越，适合国企红利指数这类以稳定分红和低波动性著称的行业。该指数的特性强调长期持有价值，当前策略的持仓占比适中，减少了频繁交易需求，与中长线投资风格契合。最大回撤控制在合理范围内，波动率相对较低，确保了投资的稳健性，同时Calmar比率较高，进一步证实了在控制下行风险的同时获取收益的能力。与其他策略相比，当前策略在收益、风险和操作频率上取得了良好平衡，特别适合红利类指数的中长期持有，因此是最适合的选择。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2016-05-06 | 1277.7632 | buy | 78.26176242984614 | 99999.99999999999 |
| 2016-07-05 | 1326.7781 | sell | 78.26176242984614 | 103835.99245932265 |
| 2016-09-14 | 1371.3661 | buy | 75.71719357750104 | 103835.99245932265 |
| 2016-10-27 | 1419.0173 | sell | 75.71719357750104 | 107444.00759392286 |
| 2016-12-20 | 1428.4004 | buy | 75.2198106314748 | 107444.00759392286 |
| 2017-01-19 | 1463.3156 | sell | 75.2198106314748 | 110070.32232608293 |
| 2017-05-08 | 1509.1623 | buy | 72.93471505754081 | 110070.32232608293 |
| 2017-06-05 | 1581.9593 | sell | 72.93471505754081 | 115379.75077812672 |
| 2018-02-09 | 1738.1596 | buy | 66.38041223494479 | 115379.75077812673 |
| 2018-05-22 | 1689.1933 | sell | 66.38041223494479 | 112129.34759850675 |
| 2018-06-19 | 1579.2138 | buy | 71.00327238687171 | 112129.34759850675 |
| 2018-07-26 | 1558.8118 | sell | 71.00327238687171 | 110680.73883526979 |
| 2018-10-11 | 1421.7168 | buy | 77.85006045878461 | 110680.73883526979 |
| 2018-11-20 | 1490.7081 | sell | 77.85006045878461 | 116051.71571139994 |
| 2019-01-02 | 1420.8309 | buy | 81.6787667775243 | 116051.71571139994 |
| 2019-01-22 | 1502.2524 | sell | 81.6787667775243 | 122702.12342057616 |
| 2019-05-06 | 1722.1599 | buy | 71.24897253766979 | 122702.12342057616 |
| 2019-07-03 | 1716.2038 | sell | 71.24897253766979 | 122277.75741524453 |
| 2019-08-05 | 1564.3956 | buy | 78.16293871910949 | 122277.75741524453 |
| 2019-09-17 | 1651.7718 | sell | 78.16293871910949 | 129107.33798135318 |
| 2019-11-11 | 1593.724 | buy | 81.00984736463352 | 129107.33798135318 |
| 2019-12-12 | 1641.6236 | sell | 81.00984736463352 | 132987.67726618017 |
| 2020-01-23 | 1467.0923 | buy | 90.64711011446258 | 132987.67726618017 |
| 2020-03-06 | 1573.4837 | sell | 90.64711011446258 | 142631.750217212 |
| 2020-03-16 | 1489.1439 | buy | 95.78103917103779 | 142631.750217212 |
| 2020-05-12 | 1521.7304 | sell | 95.78103917103779 | 145752.919050159 |
| 2020-09-07 | 1650.976 | buy | 88.28288179244215 | 145752.919050159 |
| 2020-11-13 | 1697.6001 | sell | 88.28288179244215 | 149869.028959138 |
| 2021-01-28 | 1599.8843 | buy | 93.67491696689441 | 149869.028959138 |
| 2021-02-24 | 1744.4507 | sell | 93.67491696689441 | 163411.27447534085 |
| 2021-06-29 | 1781.2268 | buy | 91.7408577477842 | 163411.27447534085 |
| 2021-09-14 | 2062.5371 | sell | 91.7408577477842 | 189218.92269062737 |
| 2021-10-28 | 1758.3336 | buy | 107.61264113398468 | 189218.92269062737 |
| 2021-12-10 | 1799.3969 | sell | 107.61264113398468 | 193637.8528573045 |
| 2022-03-14 | 1712.2285 | buy | 113.09112823277063 | 193637.8528573045 |
| 2022-04-07 | 1996.4701 | sell | 113.09112823277063 | 225783.0560919924 |
| 2022-04-26 | 1827.8851 | buy | 123.52147084737021 | 225783.0560919924 |
| 2022-05-30 | 1927.2244 | sell | 123.52147084737021 | 238053.59254094056 |
| 2022-07-14 | 1810.1372 | buy | 131.5113531399391 | 238053.59254094056 |
| 2022-08-26 | 1865.307 | sell | 131.5113531399391 | 245309.0475914004 |
| 2022-09-26 | 1829.3566 | buy | 134.09580591963336 | 245309.04759140036 |
| 2022-12-02 | 1935.1005 | sell | 134.09580591963336 | 259488.86108298547 |
| 2023-06-20 | 1907.56 | buy | 136.03182132304383 | 259488.86108298547 |
| 2023-08-07 | 1990.8 | sell | 136.03182132304383 | 270812.14988991566 |
| 2023-10-10 | 1924.23 | buy | 140.7379314790413 | 270812.14988991566 |
| 2023-11-27 | 1911.02 | sell | 140.7379314790413 | 268953.0018150775 |
| 2023-12-22 | 1863.95 | buy | 144.29196159504144 | 268953.0018150775 |
| 2024-01-08 | 1914.3 | sell | 144.29196159504144 | 276218.1020813878 |
| 2024-01-22 | 1811.77 | buy | 152.4575978636294 | 276218.1020813878 |
| 2024-01-30 | 1908.3 | sell | 152.4575978636294 | 290934.83400316397 |