| 基金代码 | 基金全名 | 基金简称 | 基金类型 |
|---|---|---|---|
| 160725 | 嘉实中证锐联基本面50指数证券投资基金（LOF） | 嘉实基本面50指数(LOF)C | 场外基金 |
| 160716 | 嘉实中证锐联基本面50指数证券投资基金（LOF） | 嘉实基本面50指数(LOF)A | 场内基金 |
| 512750 | 嘉实中证锐联基本面50交易型开放式指数证券投资基金 | 嘉实基本面50ETF | 场内基金 |
当前策略针对基本面50指数，该指数通常包含价值型股票，适合采用估值驱动的长线投资方法。在评估所有策略时，当前策略表现出最高的年化收益率和夏普比率，分别为7.42%和34.39%，同时保持较低的波动率12.07%和相同的最大回撤24.36%。与其他策略相比，如那些持仓占比更高或收益较低的策略，当前策略在风险调整后收益上更为优异。此外，其持仓占比37.51%表明操作频率相对适中，符合中长线投资偏好，避免过度交易。策略参数如买入阈值0.05和卖出阈值0.6，结合价值防御的权重设置，在估值低位时买入，提供了稳健的入场点。尽管其他策略可能有更低的持仓占比或不同的权重配置，但当前策略在综合收益、风险和操作频率上达到了最佳平衡，更适合长期持有和稳健增长。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2018-07-02 | 3781.9824 | buy | 26.441159535803234 | 100000.0 |
| 2019-04-16 | 4676.7826 | sell | 26.441159535803234 | 123659.55484086863 |
| 2020-03-17 | 3825.5686 | buy | 32.32449023156156 | 123659.55484086864 |
| 2020-07-06 | 4396.2765 | sell | 32.32449023156156 | 142107.39677949366 |
| 2021-07-26 | 3713.7916 | buy | 38.26477414066359 | 142107.39677949366 |
| 2023-04-17 | 4188.01 | sell | 38.26477414066359 | 160253.25674884053 |
| 2023-12-15 | 3529.49 | buy | 45.40408295499932 | 160253.25674884053 |
| 2024-02-19 | 3905.34 | sell | 45.40408295499932 | 177318.38132747705 |
当前策略在回测中表现出优秀的风险调整后收益，夏普比率较高且Calmar比率突出，这反映了在控制下行风险方面的有效性。指数基本面50作为价值型指数，其成分股基于基本面筛选，通常具有稳定的盈利能力和较低的波动性，适合中长线投资风格。当前策略的最大回撤相对较低，结合适中的年化收益率和波动率，在收益与风险之间取得了良好平衡，减少了频繁交易的需求。与其他策略相比，它避免了较高的最大回撤，同时保持了可观的夏普比率，更适合价值投资的环境，符合稳健操作和较少频率的偏好。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2016-05-09 | 3087.7243 | buy | 32.3863111742198 | 100000.0 |
| 2016-08-10 | 3216.6331 | sell | 32.3863111742198 | 104174.88050989527 |
| 2016-09-26 | 3251.7661 | buy | 32.03640031486129 | 104174.88050989526 |
| 2016-10-26 | 3381.5311 | sell | 32.03640031486129 | 108332.08399675325 |
| 2018-03-26 | 4314.695 | buy | 25.107703788275476 | 108332.08399675325 |
| 2018-09-25 | 4113.78 | sell | 25.107703788275476 | 103287.56969013189 |
| 2018-12-20 | 3780.81 | buy | 27.318899836313353 | 103287.56969013189 |
| 2019-02-26 | 4353.7981 | sell | 27.318899836313353 | 118940.97420143138 |
| 2019-05-09 | 4300.325 | buy | 27.658601199079463 | 118940.97420143138 |
| 2019-06-25 | 4376.227 | sell | 27.658601199079463 | 121040.31734964391 |
| 2019-08-02 | 4198.2798 | buy | 28.8309315042899 | 121040.31734964391 |
| 2019-12-18 | 4439.0287 | sell | 28.8309315042899 | 127981.33239527703 |
| 2020-01-23 | 3939.5286 | buy | 32.48645850553719 | 127981.33239527703 |
| 2020-07-10 | 4310.5813 | sell | 32.48645850553719 | 140035.52053719456 |
| 2020-09-24 | 3994.4104 | buy | 35.057870001839206 | 140035.52053719456 |
| 2020-11-10 | 4335.5946 | sell | 35.057870001839206 | 151996.71186747606 |
| 2020-12-22 | 4207.7099 | buy | 36.12338195356008 | 151996.7118674761 |
| 2021-01-19 | 4461.6579 | sell | 36.12338195356008 | 161170.17246781875 |
| 2021-03-25 | 4382.7887 | buy | 36.773429772651085 | 161170.17246781875 |
| 2021-05-27 | 4387.2677 | sell | 36.773429772651085 | 161334.88065977045 |
| 2021-06-15 | 4251.3083 | buy | 37.949466205443265 | 161334.88065977045 |
| 2021-09-03 | 4046.1494 | sell | 37.949466205443265 | 153549.20991747454 |
| 2021-11-02 | 3848.9226 | buy | 39.89407579083937 | 153549.20991747454 |
| 2021-12-10 | 3997.1745 | sell | 39.89407579083937 | 159463.58245221048 |
| 2022-03-08 | 3878.2176 | buy | 41.11775018818193 | 159463.58245221048 |
| 2022-06-16 | 3897.0461 | sell | 41.11775018818193 | 160237.76801162865 |
| 2022-07-14 | 3666.6107 | buy | 43.70187650726832 | 160237.76801162865 |
| 2022-09-14 | 3760.3333 | sell | 43.70187650726832 | 164333.62150276874 |
| 2022-09-29 | 3563.5275 | buy | 46.11543519806392 | 164333.62150276874 |
| 2022-11-30 | 3732.8568 | sell | 46.11543519806392 | 172142.31586405225 |
| 2023-05-24 | 3934.25 | buy | 43.75479846579456 | 172142.31586405225 |
| 2023-08-02 | 4146.54 | sell | 43.75479846579456 | 181431.02203035576 |
| 2023-10-10 | 3853.73 | buy | 47.079328865892464 | 181431.02203035576 |
| 2024-01-31 | 3718.29 | sell | 47.079328865892464 | 175054.59772875928 |