量化大型稳健成长

Last Update: 2021-06-10

雪球实盘建立日期: 2021年6月10日

策略说明:

量化选择过去3年中运营稳健、成长性表现最好的10只A股大市值标的,每3个月调仓一次,仓位模型为InvVol,时间窗口过去3个月。

量化选股

选择指标

排序

名称 负债率 ROE 利润率 收入增长 收入增长TTM 盈利增长 盈利增长TTM FCF增长 PE PEm PEG CAGR 最大回撤 Calmar 折价率 回报率
Symbol
600519.SS 贵州茅台 21.40 30.01 47.94 17.87 3.02 20.13 1.84 37.59 59.47 75.33 3.74 44.91 -33.50 1.34 -137.77 202.21
600900.SS 长江电力 46.10 15.52 44.31 5.12 0.84 6.31 2.20 0.54 16.54 19.50 3.09 9.47 -16.39 0.58 3.28 30.97
002714.SZ 牧原股份 46.09 28.10 26.61 87.55 21.47 448.77 10.32 199.27 8.29 27.97 0.06 82.88 -29.80 2.78 - 504.82
600585.SS 海螺水泥 16.30 22.59 21.40 35.01 6.37 35.10 2.55 36.04 7.10 8.49 0.24 14.76 -27.78 0.53 68.41 50.76
601225.SS 陕西煤业 39.78 21.57 17.80 23.29 17.32 12.98 6.82 3.92 7.77 9.98 0.77 17.51 -28.52 0.61 37.95 61.77
603195.SS 公牛集团 26.53 50.07 20.55 12.02 11.88 22.75 18.87 61.00 49.70 61.28 2.69 - -34.35 - -34.61 -
300033.SZ 同花顺 26.99 24.34 52.33 29.08 5.13 40.34 2.48 63.18 34.67 61.58 1.53 38.77 -41.83 0.93 -27.89 165.61
601636.SS 旗滨集团 33.42 16.93 15.72 8.39 16.83 17.58 39.42 28.11 25.49 33.97 1.93 60.73 -33.07 1.84 -40.74 311.63
002372.SZ 伟星新材 23.20 26.35 21.72 9.53 6.51 13.64 2.24 20.85 29.85 37.73 2.77 15.65 -40.34 0.39 -112.28 54.45
600801.SS 华新水泥 41.40 25.55 17.04 13.11 7.97 53.52 6.75 29.58 7.67 6.15 0.11 27.00 -33.90 0.80 76.12 103.92
000672.SZ 上峰水泥 36.62 37.68 26.99 14.05 2.69 43.73 0.90 34.90 7.66 9.60 0.22 31.66 -44.75 0.71 66.27 127.05
002233.SZ 塔牌集团 17.09 15.70 23.06 17.15 7.23 47.47 1.59 161.27 7.14 8.76 0.18 4.24 -29.22 0.15 94.31 13.19
002677.SZ 浙江美大 21.80 28.29 28.67 20.62 14.49 21.24 14.76 44.23 19.73 29.71 1.40 1.73 -53.24 0.03 -6.01 5.25
002950.SZ 奥美医疗 39.81 23.62 17.23 32.51 5.82 98.59 2.17 921.00 10.41 25.32 0.26 - -50.88 - 99.43 -

历史回测

Stat                 SPY         CSI300      TOP10-EQ    TOP10-ERC    TOP10-InvVol    ALL-ERC     ALL-InvVol
-------------------  ----------  ----------  ----------  -----------  --------------  ----------  ------------
Start                2016-06-12  2016-06-12  2016-06-12  2016-06-12   2016-06-12      2016-06-12  2016-06-12
End                  2021-06-03  2021-06-03  2021-06-03  2021-06-03   2021-06-03      2021-06-03  2021-06-03
Risk-free rate       0.00%       0.00%       0.00%       0.00%        0.00%           0.00%       0.00%

Total Return         118.15%     79.00%      419.75%     380.77%      394.79%         348.04%     882.26%
Daily Sharpe         0.97        0.74        1.66        1.80         1.82            1.71        2.04
Daily Sortino        1.44        1.21        2.94        3.20         3.25            3.03        4.43
CAGR                 16.98%      12.42%      39.28%      37.11%       37.91%          35.18%      58.29%
Max Drawdown         -33.71%     -31.29%     -18.84%     -15.05%      -14.45%         -15.58%     -15.01%
Calmar Ratio         0.50        0.40        2.09        2.47         2.62            2.26        3.88

MTD                  -0.07%      -0.21%      0.50%       0.27%        -0.07%          -0.45%      -0.71%
3m                   10.15%      -2.51%      -1.91%      -1.60%       -1.78%          -1.16%      -1.58%
6m                   15.06%      3.67%       11.94%      10.93%       9.90%           6.71%       6.05%
YTD                  12.37%      0.57%       13.90%      13.48%       12.49%          11.49%      11.22%
1Y                   36.29%      33.66%      46.85%      45.65%       42.87%          37.78%      33.67%
3Y (ann.)            17.22%      13.01%      39.73%      35.79%       35.12%          31.81%      67.68%
5Y (ann.)            16.98%      12.42%      39.28%      37.11%       37.91%          35.18%      58.29%
10Y (ann.)           -           -           -           -            -               -           -
Since Incep. (ann.)  16.98%      12.42%      39.28%      37.11%       37.91%          35.18%      58.29%

Daily Sharpe         0.97        0.74        1.66        1.80         1.82            1.71        2.04
Daily Sortino        1.44        1.21        2.94        3.20         3.25            3.03        4.43
Daily Mean (ann.)    18.69%      14.50%      38.22%      35.88%       36.53%          34.39%      52.56%
Daily Vol (ann.)     19.18%      19.70%      22.98%      19.90%       20.05%          20.07%      25.78%
Daily Skew           -0.77       0.03        0.03        0.01         0.03            0.00        2.86
Daily Kurt           18.46       6.80        2.06        2.02         1.94            1.65        27.95
Best Day             9.06%       9.47%       6.58%       6.02%        5.89%           5.61%       20.62%
Worst Day            -10.94%     -8.43%      -7.29%      -6.13%       -5.85%          -5.13%      -5.55%

Monthly Sharpe       1.09        0.79        1.80        1.92         1.95            1.88        1.29
Monthly Sortino      1.81        1.59        4.71        4.77         4.93            5.03        8.96
Monthly Mean (ann.)  16.89%      13.00%      35.24%      33.25%       33.85%          31.73%      52.28%
Monthly Vol (ann.)   15.45%      16.37%      19.59%      17.30%       17.37%          16.89%      40.50%
Monthly Skew         -0.76       0.28        0.29        0.04         0.04            0.31        4.41
Monthly Kurt         2.27        0.56        0.08        0.07         0.00            0.22        22.96
Best Month           12.70%      14.40%      16.45%      14.53%       14.69%          15.74%      73.15%
Worst Month          -12.49%     -8.64%      -8.59%      -8.19%       -8.18%          -6.69%      -6.95%

Yearly Sharpe        1.14        0.53        1.09        1.16         1.16            1.17        1.08
Yearly Sortino       6.58        1.25        46.33       inf          inf             40.51       129.39
Yearly Mean          15.88%      13.49%      41.13%      37.79%       38.24%          33.63%      60.76%
Yearly Vol           13.94%      25.27%      37.82%      32.63%       33.02%          28.75%      56.32%
Yearly Skew          -0.77       -0.90       0.27        0.28         0.24            -0.16       0.02
Yearly Kurt          1.28        -0.33       -1.79       -2.12        -2.62           -2.01       -2.80
Best Year            32.37%      38.60%      89.88%      78.95%       77.14%          67.23%      122.31%
Worst Year           -5.40%      -24.16%     -1.98%      1.62%        2.40%           -1.86%      -1.05%

Avg. Drawdown        -1.41%      -3.28%      -3.37%      -2.77%       -2.70%          -2.55%      -2.83%
Avg. Drawdown Days   13.23       47.86       23.88       21.99        21.18           19.65       22.03
Avg. Up Month        3.14%       3.80%       5.10%       4.90%        5.19%           4.72%       7.00%
Avg. Down Month      -4.84%      -3.61%      -4.16%      -3.62%       -3.17%          -3.06%      -2.90%
Win Year %           80.00%      80.00%      80.00%      100.00%      100.00%         80.00%      80.00%
Win 12m %            96.00%      80.00%      94.00%      94.00%       96.00%          94.00%      94.00%

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当前仓位

Date: 2021-06-04 00:00:00
Weight 名称 负债率 ROE 利润率 收入增长 收入增长TTM 盈利增长 盈利增长TTM FCF增长 PE PEm PEG CAGR 最大回撤 Calmar 折价率 回报率
600585.SS 17.73 海螺水泥 16.30 22.59 21.40 35.01 6.37 35.10 2.55 36.04 7.10 8.49 0.24 14.76 -27.78 0.53 68.41 50.76
600900.SS 16.17 长江电力 46.10 15.52 44.31 5.12 0.84 6.31 2.20 0.54 16.54 19.50 3.09 9.47 -16.39 0.58 3.28 30.97
600801.SS 10.75 华新水泥 41.40 25.55 17.04 13.11 7.97 53.52 6.75 29.58 7.67 6.15 0.11 27.00 -33.90 0.80 76.12 103.92
600519.SS 9.65 贵州茅台 21.40 30.01 47.94 17.87 3.02 20.13 1.84 37.59 59.47 75.33 3.74 44.91 -33.50 1.34 -137.77 202.21
601225.SS 8.67 陕西煤业 39.78 21.57 17.80 23.29 17.32 12.98 6.82 3.92 7.77 9.98 0.77 17.51 -28.52 0.61 37.95 61.77
002714.SZ 8.07 牧原股份 46.09 28.10 26.61 87.55 21.47 448.77 10.32 199.27 8.29 27.97 0.06 82.88 -29.80 2.78 - 504.82
300033.SZ 7.62 同花顺 26.99 24.34 52.33 29.08 5.13 40.34 2.48 63.18 34.67 61.58 1.53 38.77 -41.83 0.93 -27.89 165.61
601636.SS 7.26 旗滨集团 33.42 16.93 15.72 8.39 16.83 17.58 39.42 28.11 25.49 33.97 1.93 60.73 -33.07 1.84 -40.74 311.63
002372.SZ 7.14 伟星新材 23.20 26.35 21.72 9.53 6.51 13.64 2.24 20.85 29.85 37.73 2.77 15.65 -40.34 0.39 -112.28 54.45
603195.SS 6.92 公牛集团 26.53 50.07 20.55 12.02 11.88 22.75 18.87 61.00 49.70 61.28 2.69 - -34.35 - -34.61 -
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