| 基金代码 | 基金全名 | 基金简称 | 基金类型 |
|---|---|---|---|
| 161030 | 富国中证体育产业指数型证券投资基金 | 富国中证体育产业指数A | 场内基金 |
| 013278 | 富国中证体育产业指数型证券投资基金 | 富国中证体育产业指数C | 场外基金 |
选择当前策略的原因是其在回测中展现出最高的年化收益率11.10%和夏普比率41.18%，表明策略在风险调整后提供了卓越的回报，适合长线投资。尽管最大回撤42.84%相对较高，但高夏普比率有效补偿了风险，使策略在估值框架下具有吸引力。该策略基于PE、PB和股息率等估值指标，适用于中证体育指数，体育行业作为消费升级和健康意识提升的领域，具有成长潜力，估值策略能捕捉其价值机会。持仓占比63.61%意味着较长的持有时间和较低的操作频率，契合中长线投资风格，减少了频繁交易带来的成本。与其他策略相比，当前策略在收益率、夏普比率和Sortino比率上全面领先，同时波动率23.52%处于可接受范围，Calmar比率43.65%也表现稳健。综合考虑行业特性和投资目标，当前策略在收益与风险间达到最佳平衡，更适合追求稳健增长的长期投资者。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2018-06-19 | 1388.67 | buy | 72.0113489886006 | 100000.0 |
| 2020-06-23 | 2229.24 | sell | 72.0113489886006 | 160530.579619348 |
| 2021-02-04 | 1670.45 | buy | 96.10020031688946 | 160530.579619348 |
| 2023-05-04 | 2104.4 | sell | 96.10020031688946 | 202233.26154686217 |
当前策略在针对中证体育指数的回测中展现出优秀的综合性能，年化收益率达到9.64%，为所有策略中最高，同时夏普比率34.64%也领先，表明风险调整后的回报优异。最大回撤36.11%处于适中水平，波动率25.10%在行业标准内，这有助于控制投资风险，尤其对于体育这类可能受赛事周期影响的行业指数而言至关重要。从操作风格来看，该策略持仓占比67.20%，持仓天数1723天，反映出较长的持仓周期和较低的操作频率，符合中长线投资的偏好，减少了交易成本和市场噪音干扰。与其他策略相比，部分策略如编号6虽最大回撤较低但持仓占比仅25.94%，意味着频繁交易，不适合中长线持有；而编号7等策略持仓占比高但收益和夏普比率较低，回撤较大，平衡性不足。因此，当前策略在收益、风险和操作频率之间达到了最佳平衡，更适合稳健的量化操作。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2017-03-29 | 2402.3308 | buy | 41.62624064928943 | 100000.0 |
| 2017-06-12 | 2084.5443 | sell | 41.62624064928943 | 86771.74267590458 |
| 2017-07-11 | 2038.3021 | buy | 42.57059965542133 | 86771.74267590458 |
| 2017-08-02 | 2005.9289 | sell | 42.57059965542133 | 85393.5961391397 |
| 2017-09-25 | 2022.0308 | buy | 42.23160010180839 | 85393.5961391397 |
| 2017-10-16 | 2067.3568 | sell | 42.23160010180839 | 87307.78564535426 |
| 2017-10-30 | 1970.068 | buy | 44.317143187623095 | 87307.78564535426 |
| 2017-12-20 | 1755.13 | sell | 44.317143187623095 | 77782.34752289293 |
| 2017-12-25 | 1732.45 | buy | 44.89731162393889 | 77782.34752289293 |
| 2018-01-15 | 1758.07 | sell | 44.89731162393889 | 78932.61664669824 |
| 2018-01-31 | 1619.31 | buy | 48.74459902470697 | 78932.61664669824 |
| 2018-03-16 | 1722.69 | sell | 48.74459902470697 | 83971.83329387245 |
| 2018-03-23 | 1599.77 | buy | 52.4899412377232 | 83971.83329387245 |
| 2018-04-17 | 1670.49 | sell | 52.4899412377232 | 87683.92193820424 |
| 2018-04-20 | 1627.26 | buy | 53.8843958176347 | 87683.92193820424 |
| 2018-05-11 | 1677.5 | sell | 53.8843958176347 | 90391.0739840822 |
| 2018-05-30 | 1692.49 | buy | 53.40715394719154 | 90391.0739840822 |
| 2018-07-11 | 1396.77 | sell | 53.40715394719154 | 74597.51041881873 |
| 2018-08-02 | 1322.22 | buy | 56.41838001150998 | 74597.51041881873 |
| 2018-09-27 | 1276.59 | sell | 56.41838001150998 | 72023.13973889353 |
| 2018-10-11 | 1093.11 | buy | 65.88828181874975 | 72023.13973889353 |
| 2018-11-20 | 1252.08 | sell | 65.88828181874975 | 82497.39989962018 |
| 2018-11-29 | 1208.86 | buy | 68.24396530584202 | 82497.39989962018 |
| 2018-12-12 | 1239.14 | sell | 68.24396530584202 | 84563.8271690811 |
| 2018-12-17 | 1189.25 | buy | 71.10685488255716 | 84563.8271690811 |
| 2019-01-08 | 1197.36 | sell | 71.10685488255716 | 85140.50376217863 |
| 2019-01-29 | 1115.45 | buy | 76.32839101903144 | 85140.50376217863 |
| 2019-03-14 | 1475.84 | sell | 76.32839101903144 | 112648.49260152735 |
| 2019-04-23 | 1591.45 | buy | 70.78355751140617 | 112648.49260152735 |
| 2019-06-28 | 1414.2 | sell | 70.78355751140617 | 100102.1070326306 |
| 2019-07-10 | 1358.75 | buy | 73.67220388786062 | 100102.10703263062 |
| 2019-08-01 | 1376.54 | sell | 73.67220388786062 | 101412.73553979566 |
| 2019-08-06 | 1343.8 | buy | 75.46713464786103 | 101412.73553979566 |
| 2019-08-30 | 1594.98 | sell | 75.46713464786103 | 120368.57042064538 |
| 2019-09-25 | 1583.31 | buy | 76.02337534699167 | 120368.57042064538 |
| 2019-10-15 | 1642.32 | sell | 76.02337534699167 | 124854.70979987136 |
| 2019-10-31 | 1614.57 | buy | 77.33000724643178 | 124854.70979987134 |
| 2019-11-11 | 1603.6 | sell | 77.33000724643178 | 124006.39962037798 |
| 2020-01-23 | 1819.92 | buy | 68.1383795004055 | 124006.399620378 |
| 2020-02-11 | 2064.84 | sell | 68.1383795004055 | 140694.8515276173 |
| 2020-02-26 | 2079.2 | buy | 67.66778161197448 | 140694.8515276173 |
| 2020-03-30 | 1928.83 | sell | 67.66778161197448 | 130519.64720662472 |
| 2020-04-13 | 1924.52 | buy | 67.81932492602037 | 130519.64720662472 |
| 2020-07-16 | 2418.66 | sell | 67.81932492602037 | 164031.8884255684 |
| 2020-07-24 | 2304.25 | buy | 71.18667176980293 | 164031.8884255684 |
| 2020-08-06 | 2378.88 | sell | 71.18667176980293 | 169344.5497397488 |
| 2020-08-11 | 2293.63 | buy | 73.83254916431542 | 169344.5497397488 |
| 2020-09-03 | 2418.28 | sell | 73.83254916431542 | 178547.7769930807 |
| 2020-09-09 | 2195.52 | buy | 81.32368504640391 | 178547.7769930807 |
| 2020-10-13 | 2235.42 | sell | 81.32368504640391 | 181792.59202643222 |
| 2020-10-23 | 2096.61 | buy | 86.70787224444804 | 181792.59202643222 |
| 2020-12-04 | 2016.37 | sell | 86.70787224444804 | 174835.15235753768 |
| 2020-12-10 | 1934.7 | buy | 90.36809446298531 | 174835.15235753768 |
| 2021-01-29 | 1790.6 | sell | 90.36809446298531 | 161813.1099454215 |
| 2021-02-04 | 1670.45 | buy | 96.86797566249902 | 161813.1099454215 |
| 2021-02-22 | 1765.64 | sell | 96.86797566249902 | 171033.97254873478 |
| 2021-03-15 | 1743.98 | buy | 98.07106305619031 | 171033.97254873478 |
| 2021-03-29 | 1766.08 | sell | 98.07106305619031 | 173201.34304227657 |
| 2021-04-12 | 1743.62 | buy | 99.33434064892384 | 173201.34304227657 |
| 2021-04-21 | 1795.84 | sell | 99.33434064892384 | 178388.5823109634 |
| 2021-06-16 | 1890.84 | buy | 94.3435628138623 | 178388.5823109634 |
| 2021-09-16 | 1726.67 | sell | 94.3435628138623 | 162900.19960381163 |
| 2021-09-28 | 1630.46 | buy | 99.91057714007803 | 162900.19960381163 |
| 2021-11-18 | 1910.69 | sell | 99.91057714007803 | 190898.1406357757 |
| 2021-11-29 | 1816.11 | buy | 105.1137544728985 | 190898.1406357757 |
| 2021-12-20 | 1893.74 | sell | 105.1137544728985 | 199058.1213955068 |
| 2022-01-20 | 1875.7 | buy | 106.12471151863667 | 199058.1213955068 |
| 2022-04-07 | 1571.83 | sell | 106.12471151863667 | 166810.0053063387 |
| 2022-04-11 | 1563.89 | buy | 106.66351553263891 | 166810.0053063387 |
| 2022-05-19 | 1397.13 | sell | 106.66351553263891 | 149022.7974561158 |
| 2022-05-24 | 1383.44 | buy | 107.71901741753585 | 149022.7974561158 |
| 2022-06-22 | 1448.88 | sell | 107.71901741753585 | 156071.92995591936 |
| 2022-07-06 | 1429.15 | buy | 109.20612248953529 | 156071.92995591936 |
| 2022-08-15 | 1397.45 | sell | 109.20612248953529 | 152610.0958730011 |
| 2022-09-01 | 1394.73 | buy | 109.41909607809475 | 152610.0958730011 |
| 2022-10-19 | 1241.86 | sell | 109.41909607809475 | 135883.19865554274 |
| 2022-10-24 | 1189.29 | buy | 114.2557312813046 | 135883.19865554274 |
| 2022-11-22 | 1343.86 | sell | 114.2557312813046 | 153543.70703969398 |
| 2022-12-19 | 1311.0 | buy | 117.11953244827916 | 153543.70703969398 |
| 2023-01-17 | 1428.58 | sell | 117.11953244827916 | 167314.62166496264 |
| 2023-02-27 | 1551.49 | buy | 107.84125045276646 | 167314.62166496264 |
| 2023-03-03 | 1605.42 | sell | 107.84125045276646 | 173130.50030188033 |
| 2023-03-10 | 1570.68 | buy | 110.22646261611551 | 173130.50030188033 |
| 2023-04-10 | 1906.74 | sell | 110.22646261611551 | 210173.20532865208 |
| 2023-05-16 | 1904.28 | buy | 110.36885611814023 | 210173.20532865208 |
| 2023-06-08 | 2084.06 | sell | 110.36885611814023 | 230015.31828157132 |
| 2023-06-26 | 2038.84 | buy | 112.81675770613258 | 230015.31828157132 |
| 2023-08-31 | 1747.7 | sell | 112.81675770613258 | 197169.84744300792 |
| 2023-09-08 | 1697.09 | buy | 116.18113797324122 | 197169.84744300792 |
| 2023-11-16 | 1643.45 | sell | 116.18113797324122 | 190937.89120212328 |
| 2023-11-24 | 1596.88 | buy | 119.56934221865342 | 190937.89120212328 |
| 2023-12-05 | 1661.05 | sell | 119.56934221865342 | 198610.65589229425 |
| 2023-12-22 | 1518.22 | buy | 130.81810007264707 | 198610.65589229425 |
| 2024-03-07 | 1463.7 | sell | 130.81810007264707 | 191478.45307633354 |
| 2024-03-27 | 1477.5 | buy | 129.59624573694316 | 191478.4530763335 |