| 基金代码 | 基金全名 | 基金简称 | 基金类型 |
|---|---|---|---|
| 161032 | 富国中证煤炭指数型证券投资基金 | 富国中证煤炭指数A | 场内基金 |
| 168204 | 国联中证煤炭指数型证券投资基金 | 国联煤炭A | 场内基金 |
| 008279 | 国泰中证煤炭交易型开放式指数证券投资基金发起式联接基金 | 国泰中证煤炭ETF联接A | 场外基金 |
| 008280 | 国泰中证煤炭交易型开放式指数证券投资基金发起式联接基金 | 国泰中证煤炭ETF联接C | 场外基金 |
| 515220 | 国泰中证煤炭交易型开放式指数证券投资基金 | 国泰中证煤炭ETF | 场内基金 |
| 515223 | 国泰中证煤炭交易型开放式指数证券投资基金 | 国泰中证煤炭ETF | 场外基金 |
| 013275 | 富国中证煤炭指数型证券投资基金 | 富国中证煤炭指数C | 场外基金 |
| 016814 | 国联中证煤炭指数型证券投资基金 | 国联煤炭C | 场外基金 |
| 022501 | 国泰中证煤炭交易型开放式指数证券投资基金发起式联接基金 | 国泰中证煤炭ETF联接E | 场外基金 |
当前策略针对中证煤炭指数，采用估值模型进行长线投资，其回测结果在多个关键指标上表现优异。年化收益率达到15.98%，为所有策略中最高，同时最大回撤保持在15.18%的低水平，夏普比率高达69.47%，表明风险调整后收益显著。波动率较低为18.91%，减少投资组合波动。持仓占比约24%，意味着操作频率较低，适合中长线持有，减少交易干扰。煤炭行业具有周期性，估值策略能有效捕捉长期价值机会，而当前策略采用价值防御权重，强调PE、PB和股息率的平衡，增强防御性。与其他策略相比，虽然一些策略在收益率或回撤方面相似，但当前策略在夏普比率和综合风险收益比上全面领先，提供更稳健的投资表现，适合追求长期稳定增长的偏好。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2020-01-23 | 1073.49 | buy | 93.15410483562958 | 100000.0 |
| 2021-09-07 | 2451.17 | sell | 93.15410483562958 | 228336.54714995017 |
| 2023-05-31 | 1995.84 | buy | 114.40623855116151 | 228336.54714995017 |
当前策略在中证煤炭指数上表现出色，年化收益率达到15.27%，为所有策略中最高，同时夏普比率为69.15%，风险调整后回报优异。最大回撤为24.74%，与其他策略相近，控制在合理范围内，适合煤炭行业周期性波动特点。持仓占比高达39.66%，意味着持有时间较长，操作频率较低，减少了交易成本和市场噪音影响，符合中长线投资偏好。虽然其他策略如夏普比率略高或波动率稍低，但持仓占比较低或最大回撤较高，可能导致更频繁的操作和潜在风险增加。考虑到煤炭指数作为周期性行业，波动性较大，当前策略通过较长的持仓周期和稳定的技术参数，在收益和风险之间取得良好平衡，适合长期稳健操作。
起始日期：2016-04-01
结束日期：2024-04-01
| date | price | type | amount | value |
|---|---|---|---|---|
| 2017-04-19 | 1589.9915 | buy | 62.89341798368104 | 100000.0 |
| 2017-06-05 | 1521.7807 | sell | 62.89341798368104 | 95709.98964459873 |
| 2017-10-18 | 1774.207 | buy | 53.945221524094265 | 95709.98964459873 |
| 2017-12-28 | 1766.99 | sell | 53.945221524094265 | 95320.66698085933 |
| 2018-02-09 | 1709.23 | buy | 55.76819209869902 | 95320.66698085933 |
| 2018-05-10 | 1561.65 | sell | 55.76819209869902 | 87090.39719093332 |
| 2018-05-30 | 1451.42 | buy | 60.003580762931 | 87090.39719093332 |
| 2018-07-30 | 1359.03 | sell | 60.003580762931 | 81546.66636424612 |
| 2018-09-05 | 1270.37 | buy | 64.19127212091448 | 81546.66636424612 |
| 2018-09-21 | 1324.92 | sell | 64.19127212091448 | 85048.30025844202 |
| 2018-10-18 | 1250.65 | buy | 68.0032785019326 | 85048.30025844202 |
| 2018-11-19 | 1294.32 | sell | 68.0032785019326 | 88018.0034306214 |
| 2018-11-23 | 1230.68 | buy | 71.51981297382048 | 88018.0034306214 |
| 2019-01-16 | 1246.24 | sell | 71.51981297382048 | 89130.85172049403 |
| 2019-05-06 | 1442.09 | buy | 61.806719220363526 | 89130.85172049403 |
| 2019-07-01 | 1401.88 | sell | 61.806719220363526 | 86645.60354064322 |
| 2019-07-08 | 1325.15 | buy | 65.38550619978358 | 86645.60354064322 |
| 2019-09-02 | 1305.57 | sell | 65.38550619978358 | 85365.35532925144 |
| 2019-10-31 | 1224.91 | buy | 69.69112451465939 | 85365.35532925144 |
| 2019-11-25 | 1230.12 | sell | 69.69112451465939 | 85728.4460879728 |
| 2020-01-23 | 1073.49 | buy | 79.85956654274636 | 85728.4460879728 |
| 2020-03-05 | 1178.4 | sell | 79.85956654274636 | 94106.51321397233 |
| 2020-03-13 | 1077.89 | buy | 87.30623088995382 | 94106.51321397234 |
| 2020-06-02 | 1054.11 | sell | 87.30623088995382 | 92030.37104340922 |
| 2020-06-15 | 1031.29 | buy | 89.23811056386586 | 92030.37104340922 |
| 2020-06-18 | 1070.4 | sell | 89.23811056386586 | 95520.47354756203 |
| 2020-09-24 | 1157.16 | buy | 82.54733446330846 | 95520.47354756203 |
| 2020-10-15 | 1249.63 | sell | 82.54733446330846 | 103153.62556538417 |
| 2021-01-29 | 1294.16 | buy | 79.70701116197701 | 103153.62556538417 |
| 2021-02-19 | 1446.65 | sell | 79.70701116197701 | 115308.14769747405 |
| 2021-07-08 | 1588.31 | buy | 72.59801153268194 | 115308.14769747405 |
| 2021-07-23 | 1714.43 | sell | 72.59801153268194 | 124464.2089119759 |
| 2021-10-28 | 1936.36 | buy | 64.27741169615976 | 124464.2089119759 |
| 2021-12-02 | 1996.28 | sell | 64.27741169615976 | 128315.7114208098 |
| 2022-01-28 | 1942.09 | buy | 66.07093977148836 | 128315.71142080982 |
| 2022-02-08 | 2054.15 | sell | 66.07093977148836 | 135719.6209316028 |
| 2022-03-15 | 2045.66 | buy | 66.34515067587127 | 135719.6209316028 |
| 2022-04-14 | 2519.05 | sell | 66.34515067587127 | 167126.75181005354 |
| 2022-04-25 | 2067.96 | buy | 80.81720720422713 | 167126.75181005354 |
| 2022-05-20 | 2395.14 | sell | 80.81720720422713 | 193568.52566313255 |
| 2022-10-31 | 2267.96 | buy | 85.34917973118245 | 193568.52566313255 |
| 2023-01-19 | 2301.39 | sell | 85.34917973118245 | 196421.74874154595 |
| 2023-02-16 | 2225.43 | buy | 88.26238018789445 | 196421.74874154592 |
| 2023-02-21 | 2353.47 | sell | 88.26238018789445 | 207722.86390080393 |
| 2023-03-16 | 2177.6 | buy | 95.39073470830454 | 207722.86390080396 |
| 2023-04-18 | 2261.76 | sell | 95.39073470830454 | 215750.9481338549 |
| 2023-05-25 | 2081.2 | buy | 103.66660971259606 | 215750.9481338549 |
| 2023-07-03 | 2047.68 | sell | 103.66660971259606 | 212276.0433762887 |
| 2023-08-21 | 1908.14 | buy | 111.24762510942 | 212276.0433762887 |
| 2023-09-01 | 2095.59 | sell | 111.24762510942 | 233129.41070304948 |
| 2023-10-23 | 2078.7 | buy | 112.1515421672437 | 233129.41070304948 |
| 2023-11-15 | 2125.18 | sell | 112.1515421672437 | 238342.21438298296 |
| 2024-01-22 | 2207.43 | buy | 107.97271686213514 | 238342.21438298296 |
| 2024-02-19 | 2498.65 | sell | 107.97271686213514 | 269786.028987574 |