选股

Update: 20210609

稳健成长

选择指标

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
Symbol
0700.HK 腾讯控股 41.65 24.13 28.29 26.65 27.77 33.31 71.31 20.72 55.52 58.17 1.75 13.83 -39.81 0.35 -131.45
MSFT Microsoft 60.74 31.22 25.89 13.98 11.85 38.22 26.50 13.21 34.18 60.16 1.57 37.23 -28.04 1.33 -185.90
000858.SZ 五 粮 液 22.95 21.48 33.75 24.06 7.13 27.68 8.11 22.79 56.73 81.03 2.93 59.40 -43.75 1.36 -282.95
FB Facebook I 19.47 22.18 34.71 28.52 9.81 26.68 15.76 12.46 28.31 43.73 1.64 19.98 -42.96 0.47 -173.62
002415.SZ 海康威视 38.58 28.43 21.96 14.92 7.18 12.60 5.03 49.38 40.45 49.06 3.89 18.44 -40.39 0.46 -77.07
603288.SS 海天味业 31.72 31.42 26.24 16.05 5.59 21.95 5.32 11.37 66.07 90.64 4.13 44.08 -31.85 1.38 -366.47
000568.SZ 泸州老窖 33.78 21.84 29.18 17.34 8.71 32.94 7.65 334.91 63.40 98.15 2.98 63.37 -48.07 1.32 77.81
300122.SZ 智飞生物 45.79 32.66 26.01 145.13 8.51 112.77 12.78 132.88 76.32 150.51 1.33 60.79 -38.04 1.60 -123.58
ASML ASML Holdi 49.15 21.91 23.52 16.12 13.76 20.84 26.47 38.47 52.73 103.81 4.98 49.71 -37.94 1.31 -247.59
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 -
ADBE Adobe Inc 45.38 28.84 29.80 20.86 6.33 48.36 5.82 25.47 43.92 77.19 1.60 26.72 -25.64 1.04 -153.79
300347.SZ 泰格医药 8.45 15.14 30.80 24.03 7.89 81.00 11.46 52.33 79.30 188.04 2.32 72.83 -44.04 1.65 -670.10
600763.SS 通策医疗 23.37 23.98 21.89 21.36 20.99 33.13 37.14 38.60 176.39 315.32 9.52 104.02 -45.88 2.27 -846.40
601100.SS 恒立液压 30.78 20.59 21.54 41.44 18.94 82.62 19.34 -92.80 37.47 84.40 1.02 75.07 -44.95 1.67 -163695.12
600570.SS 恒生电子 49.48 24.06 26.42 16.27 5.69 49.90 16.16 10.32 58.78 95.23 1.91 37.63 -38.38 0.98 -604.99
603369.SS 今世缘 30.24 18.77 30.42 20.67 12.22 20.87 14.36 3.42 42.78 60.44 2.90 40.95 -44.58 0.92 -518.82
300408.SZ 三环集团 12.42 15.54 34.45 13.00 17.71 17.67 21.20 121.42 39.93 60.03 3.40 17.89 -44.69 0.40 -7.29
002001.SZ 新 和 成 37.20 15.60 31.40 20.71 10.90 38.52 6.61 -180.44 17.70 25.61 0.66 31.42 -29.32 1.07 -1645.37
300595.SZ 欧普康视 10.02 21.91 48.20 40.94 21.01 42.15 23.11 54.08 114.88 220.13 5.22 113.95 -42.52 2.68 -706.63
0586.HK 海螺创业 26.41 20.34 155.65 48.71 28.99 33.76 8.89 111.47 - 10.09 0.30 6.54 -25.68 0.25 -
REGN Regeneron 35.76 24.59 35.61 13.93 26.73 52.19 66.05 28.57 16.77 23.52 0.45 18.07 -37.79 0.48 -23.76
MNST Monster Be 16.80 25.61 26.87 10.94 9.47 19.93 27.24 14.54 36.12 46.56 2.34 19.01 -27.60 0.69 -150.80
3319.HK 雅生活服务 38.05 19.55 20.42 79.72 95.54 90.89 42.55 121.61 - 47.43 0.52 35.79 -43.12 0.83 70.53
VEEV Veeva Syst 25.60 17.52 25.44 28.54 32.70 36.41 26.20 34.55 122.16 165.27 4.54 53.95 -31.15 1.73 -299.55
603707.SS 健友股份 51.50 18.72 26.34 38.69 5.11 36.95 8.50 1496.05 44.12 71.31 1.93 36.37 -46.89 0.78 -
603658.SS 安图生物 19.07 24.44 28.76 29.27 8.95 20.06 10.48 166.88 43.99 59.32 2.96 13.84 -45.36 0.31 -204.44
603638.SS 艾迪精密 34.06 19.20 22.61 52.28 22.73 54.66 21.30 -197.71 57.12 117.89 2.16 68.37 -39.57 1.73 -2491.36
300357.SZ 我武生物 4.77 22.46 46.30 19.02 8.55 15.52 10.45 16.74 111.58 137.77 8.87 44.53 -41.81 1.07 -1101.31
CPRT Copart Inc 27.95 30.93 27.77 15.27 11.97 21.96 20.88 2.37 42.37 56.18 2.56 29.62 -43.75 0.68 -647.73
603568.SS 伟明环保 47.02 23.01 46.28 45.09 10.07 35.57 13.63 -21.35 20.12 32.76 0.92 19.13 -35.10 0.55 -
300725.SZ 药石科技 21.88 16.51 23.36 55.95 11.27 44.56 22.56 413.19 117.55 207.10 4.65 55.13 -39.63 1.39 72.00
GRMN Garmin Ltd 21.55 18.23 23.12 10.30 5.16 13.10 5.93 28.73 26.27 32.98 2.52 35.89 -38.14 0.94 -51.89
GMAB Genmab A/S 9.56 19.07 45.68 64.57 88.43 66.73 119.67 128.78 - 11.42 0.17 39.79 -32.49 1.22 91.88
002595.SZ 豪迈科技 17.16 17.31 20.28 20.94 6.94 14.28 5.08 -21.78 22.49 28.99 2.03 25.45 -29.13 0.87 -
300685.SZ 艾德生物 12.72 15.56 26.38 30.19 11.41 24.91 9.71 46.64 101.58 148.97 5.98 31.74 -44.94 0.71 -413.46
0535.HK 金地商置 67.24 20.60 31.46 51.69 39.38 40.11 14.60 -38.48 4.00 5.87 0.15 10.68 -33.80 0.32 -124.53
300327.SZ 中颖电子 18.54 19.01 21.27 13.98 10.35 16.35 12.19 11.01 71.97 97.85 5.99 49.77 -35.85 1.39 -678.01
002287.SZ 奇正藏药 40.92 15.86 27.07 12.02 11.76 10.54 13.48 -2.20 30.83 40.90 3.88 6.09 -46.17 0.13 -503.97
300394.SZ 天孚通信 14.22 15.30 31.70 38.76 9.94 37.74 8.48 131.01 32.10 60.90 1.61 38.40 -49.77 0.77 -20.65
603416.SS 信捷电气 31.78 15.71 26.29 35.58 12.64 44.31 12.51 79.99 24.39 42.17 0.95 25.72 -47.35 0.54 -63.23
002833.SZ 弘亚数控 26.31 22.78 23.79 28.09 28.92 14.35 15.16 6.66 21.30 25.76 1.80 14.31 -45.45 0.31 -111.39
603203.SS 快克股份 18.66 17.35 35.88 14.05 11.50 10.64 16.08 27.75 31.77 35.14 3.30 13.10 -35.27 0.37 -54.97

TOP20 历史回测

Stat                 WeighEqually    WeighInvVol    SPY         CSI300
-------------------  --------------  -------------  ----------  ----------
Start                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
Risk-free rate       0.00%           0.00%          0.00%       0.00%

Total Return         586.93%         544.11%        120.83%     84.19%
Daily Sharpe         2.01            2.07           0.98        0.77
Daily Sortino        3.30            3.41           1.46        1.27
CAGR                 47.31%          45.42%         17.26%      13.06%
Max Drawdown         -24.65%         -23.28%        -33.71%     -31.29%
Calmar Ratio         1.92            1.95           0.51        0.42

MTD                  -1.57%          -2.02%         -0.07%      -0.21%
3m                   6.66%           5.09%          10.15%      -2.51%
6m                   24.25%          21.01%         15.06%      3.67%
YTD                  12.57%          10.49%         12.37%      0.57%
1Y                   78.81%          73.41%         36.29%      33.66%
3Y (ann.)            51.75%          47.87%         17.22%      13.01%
5Y (ann.)            47.31%          45.42%         17.26%      13.06%
10Y (ann.)           -               -              -           -
Since Incep. (ann.)  47.31%          45.42%         17.26%      13.06%

Daily Sharpe         2.01            2.07           0.98        0.77
Daily Sortino        3.30            3.41           1.46        1.27
Daily Mean (ann.)    44.02%          42.30%         18.98%      15.13%
Daily Vol (ann.)     21.91%          20.39%         19.33%      19.73%
Daily Skew           -0.43           -0.50          -0.78       0.03
Daily Kurt           2.66            3.09           17.89       6.74
Best Day             5.87%           4.77%          9.06%       9.47%
Worst Day            -7.29%          -7.78%         -10.94%     -8.43%

Monthly Sharpe       2.07            2.07           1.10        0.79
Monthly Sortino      5.41            5.41           1.81        1.59
Monthly Mean (ann.)  41.05%          39.58%         16.93%      12.98%
Monthly Vol (ann.)   19.85%          19.08%         15.45%      16.37%
Monthly Skew         0.01            0.02           -0.76       0.28
Monthly Kurt         0.75            0.80           2.26        0.57
Best Month           15.58%          15.60%         12.70%      14.40%
Worst Month          -14.39%         -13.87%        -12.49%     -8.64%

Yearly Sharpe        1.22            1.24           1.14        0.53
Yearly Sortino       inf             inf            6.58        1.25
Yearly Mean          53.31%          50.97%         15.88%      13.49%
Yearly Vol           43.54%          41.05%         13.94%      25.27%
Yearly Skew          -0.30           -0.39          -0.77       -0.90
Yearly Kurt          -2.85           -3.03          1.28        -0.33
Best Year            97.85%          90.20%         32.37%      38.60%
Worst Year           2.99%           4.18%          -5.40%      -24.16%

Avg. Drawdown        -2.50%          -2.39%         -1.45%      -3.07%
Avg. Drawdown Days   13.51           13.86          13.28       44.47
Avg. Up Month        6.25%           5.97%          3.14%       3.80%
Avg. Down Month      -2.67%          -2.48%         -4.84%      -3.61%
Win Year %           100.00%         100.00%        80.00%      80.00%
Win 12m %            98.00%          98.00%         96.00%      80.00%

png

BOTTOM 20 历史回测

Stat                 WeighEqually    WeighInvVol    SPY         CSI300
-------------------  --------------  -------------  ----------  ----------
Start                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
Risk-free rate       0.00%           0.00%          0.00%       0.00%

Total Return         257.96%         854.29%        120.83%     84.19%
Daily Sharpe         1.37            2.00           0.98        0.77
Daily Sortino        2.21            3.79           1.46        1.27
CAGR                 29.22%          57.37%         17.26%      13.06%
Max Drawdown         -22.78%         -19.96%        -33.71%     -31.29%
Calmar Ratio         1.28            2.87           0.51        0.42

MTD                  -0.01%          0.50%          -0.07%      -0.21%
3m                   3.61%           6.22%          10.15%      -2.51%
6m                   9.12%           10.84%         15.06%      3.67%
YTD                  7.21%           8.56%          12.37%      0.57%
1Y                   39.31%          45.62%         36.29%      33.66%
3Y (ann.)            38.02%          40.75%         17.22%      13.01%
5Y (ann.)            29.22%          57.37%         17.26%      13.06%
10Y (ann.)           -               -              -           -
Since Incep. (ann.)  29.22%          57.37%         17.26%      13.06%

Daily Sharpe         1.37            2.00           0.98        0.77
Daily Sortino        2.21            3.79           1.46        1.27
Daily Mean (ann.)    29.90%          52.04%         18.98%      15.13%
Daily Vol (ann.)     21.75%          25.99%         19.33%      19.73%
Daily Skew           -0.43           1.28           -0.78       0.03
Daily Kurt           4.71            10.32          17.89       6.74
Best Day             8.04%           9.94%          9.06%       9.47%
Worst Day            -7.46%          -7.04%         -10.94%     -8.43%

Monthly Sharpe       1.52            0.91           1.10        0.79
Monthly Sortino      4.02            9.04           1.81        1.59
Monthly Mean (ann.)  27.31%          57.12%         16.93%      12.98%
Monthly Vol (ann.)   18.00%          62.91%         15.45%      16.37%
Monthly Skew         0.56            6.83           -0.76       0.28
Monthly Kurt         0.78            50.44          2.26        0.57
Best Month           17.99%          137.50%        12.70%      14.40%
Worst Month          -9.11%          -8.53%         -12.49%     -8.64%

Yearly Sharpe        0.96            0.82           1.14        0.53
Yearly Sortino       14.66           51.89          6.58        1.25
Yearly Mean          32.86%          72.03%         15.88%      13.49%
Yearly Vol           34.10%          87.45%         13.94%      25.27%
Yearly Skew          0.18            1.46           -0.77       -0.90
Yearly Kurt          -2.76           2.36           1.28        -0.33
Best Year            69.94%          216.58%        32.37%      38.60%
Worst Year           -5.01%          -3.10%         -5.40%      -24.16%

Avg. Drawdown        -3.57%          -3.52%         -1.45%      -3.07%
Avg. Drawdown Days   23.39           19.86          13.28       44.47
Avg. Up Month        5.29%           8.55%          3.14%       3.80%
Avg. Down Month      -2.57%          -2.28%         -4.84%      -3.61%
Win Year %           80.00%          80.00%         80.00%      80.00%
Win 12m %            94.00%          96.00%         96.00%      80.00%

png

明星股

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
Symbol
300750.SZ 宁德时代 55.82 11.66 12.97 37.54 20.14 14.80 21.71 -61.23 145.04 231.34 15.63 130.00 -37.02 3.51 -38939.20
2331.HK 李宁 40.46 15.76 8.79 18.21 4.23 53.91 13.30 59.22 106.62 166.19 3.08 102.15 -40.94 2.50 -124.06
601012.SS 隆基股份 59.38 21.03 16.28 49.97 13.29 46.72 7.46 -97.28 39.34 74.12 1.59 93.63 -37.57 2.49 -823887.39
BILI Bilibili I 67.39 -9.33 -20.55 69.49 77.03 83.54 133.65 -110.94 - - - 78.78 -51.76 1.52 -
AMD Advanced M 34.87 18.95 8.79 24.09 16.99 -163.27 15.78 -34.90 34.25 126.47 - 73.26 -49.11 1.49 -11892.51
601888.SS 中国中免 37.55 21.92 9.18 25.94 19.96 34.84 48.36 105.58 69.24 152.21 4.37 72.84 -35.14 2.07 -101.39
0285.HK 比亚迪电子 41.35 16.47 5.61 24.31 37.89 66.09 240.59 -353.88 66.55 40.29 0.61 64.28 -40.90 1.57 -
000858.SZ 五 粮 液 22.95 21.48 33.75 24.06 7.13 27.68 8.11 22.79 56.73 81.03 2.93 59.40 -43.75 1.36 -282.95
2269.HK 药明生物 27.84 7.58 24.01 51.54 40.88 92.32 66.59 146.45 - 568.72 6.16 58.54 -50.94 1.15 -
002594.SZ 比亚迪 67.94 5.68 2.49 14.53 13.61 29.57 2.95 -231.87 124.28 160.91 5.44 57.33 -46.19 1.24 -
2020.HK 安踏体育 50.21 24.16 16.45 29.94 4.67 19.91 -3.41 41.31 70.93 96.24 4.83 52.28 -41.69 1.25 -147.94
TSM Taiwan Sem 32.97 23.33 35.07 11.48 3.87 16.70 4.38 21.73 32.04 1.46 0.09 51.48 -26.55 1.94 89.49
0268.HK 金蝶国际 25.77 4.30 7.33 13.75 0.93 -55.57 -190.04 -12.84 220.22 518.11 - 47.60 -46.58 1.02 -1391.91
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
603288.SS 海天味业 31.72 31.42 26.24 16.05 5.59 21.95 5.32 11.37 66.07 90.64 4.13 44.08 -31.85 1.38 -366.47
601899.SS 紫金矿业 59.08 10.01 3.63 22.17 6.61 24.43 22.60 -110.17 35.54 57.71 2.36 42.88 -36.02 1.19 -
NVDA NVIDIA Cor 41.33 33.42 29.58 22.18 52.73 19.45 54.94 17.95 101.90 126.41 6.50 39.83 -56.04 0.71 -497.83
AAPL Apple Inc 79.83 60.14 21.41 6.44 18.54 6.61 32.92 13.42 28.30 38.10 5.76 39.81 -38.52 1.03 -87.55
600570.SS 恒生电子 49.48 24.06 26.42 16.27 5.69 49.90 16.16 10.32 58.78 95.23 1.91 37.63 -38.38 0.98 -604.99
MSFT Microsoft 60.74 31.22 25.89 13.98 11.85 38.22 26.50 13.21 34.18 60.16 1.57 37.23 -28.04 1.33 -185.90
000625.SZ 长安汽车 55.77 4.17 2.53 3.04 24.20 -268.29 6.69 -304.21 33.40 53.58 - 37.10 -49.37 0.75 36.72
NTES NetEase In 33.89 21.57 22.09 18.43 24.35 53.15 -43.20 33.70 41.17 6.27 0.12 34.42 -30.12 1.14 82.17
0981.HK 中芯国际 30.77 3.54 8.91 8.82 25.40 84.86 204.90 97.63 303.19 817.82 9.64 30.69 -58.81 0.52 -
600036.SS 招商银行 91.27 15.46 43.54 11.97 3.28 11.65 4.34 -693.52 14.53 17.00 1.46 30.21 -25.61 1.18 -
GOOG Alphabet I 30.37 15.19 19.29 18.16 7.76 57.24 27.55 23.16 32.67 55.11 0.96 29.57 -30.79 0.96 -136.87
3888.HK 金山软件 19.45 14.75 53.14 5.33 27.98 -444.91 -749.58 -240.00 - 24.15 - 28.51 -60.54 0.47 -
GOOGL Alphabet I 30.37 15.19 19.29 18.16 7.76 57.24 27.55 23.16 31.90 54.91 0.96 28.13 -30.87 0.91 -136.01
1347.HK 华虹半导体 26.58 7.06 16.35 6.15 3.08 -8.01 -38.71 -619.72 42.30 365.09 - 27.78 -58.32 0.48 89.79
AMZN Amazon 70.92 18.90 3.92 29.67 8.56 110.41 26.12 71.58 61.00 140.53 1.27 23.80 -34.10 0.70 -54.06
JD JD 47.52 9.19 2.04 27.22 29.28 417.65 305.49 117.46 15.42 8.12 0.02 23.60 -55.96 0.42 94.38
DIS Walt Disne 51.62 14.14 12.25 6.28 -7.05 -32.63 72.97 12.73 - 43.22 - 20.43 -43.11 0.47 -203.61
FB Facebook I 19.47 22.18 34.71 28.52 9.81 26.68 15.76 12.46 28.31 43.73 1.64 19.98 -42.96 0.47 -173.62
002415.SZ 海康威视 38.58 28.43 21.96 14.92 7.18 12.60 5.03 49.38 40.45 49.06 3.89 18.44 -40.39 0.46 -77.07
000725.SZ 京东方A 59.13 4.95 4.24 13.28 17.54 21.23 91.65 -20.20 22.27 46.46 2.19 16.68 -39.28 0.42 -
2319.HK 蒙牛乳业 53.53 11.48 4.41 8.48 -3.79 23.12 -14.14 -26.64 38.00 55.30 2.39 16.64 -28.02 0.59 -1311.91
600276.SS 恒瑞医药 11.35 20.95 23.07 26.23 5.06 25.41 2.86 12.33 67.09 93.07 3.66 15.42 -37.19 0.41 -851.22
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
8083.HK 中国有赞 62.09 -11.46 -48.60 112.40 55.77 90.51 -50.21 81.34 - - - 14.21 -65.11 0.22 -
000333.SZ 美的集团 65.53 23.69 8.31 5.73 8.62 16.39 6.09 11.21 18.81 24.64 1.50 14.18 -36.70 0.39 -23.91
0700.HK 腾讯控股 41.65 24.13 28.29 26.65 27.77 33.31 71.31 20.72 55.52 58.17 1.75 13.83 -39.81 0.35 -131.45
000895.SZ 双汇发展 30.46 31.63 9.01 14.21 0.98 13.15 -0.38 25.11 19.13 23.28 1.77 13.17 -46.20 0.29 2.12
600030.SS 中信证券 82.35 7.53 27.81 9.51 8.70 13.17 7.02 50.91 20.60 25.32 1.92 13.13 -31.01 0.42 59.51
TWTR Twitter In 40.43 4.54 11.75 15.22 6.15 -457.18 -6.73 -22.52 - 131.94 - 12.60 -52.95 0.24 -1132.76
KO Coca-Cola 75.62 33.08 17.40 -2.68 1.27 147.01 -6.84 18.77 33.68 39.84 0.27 12.06 -36.99 0.33 -65.82
600886.SS 国投电力 63.92 11.40 11.52 8.58 4.09 19.99 -4.68 18.50 12.38 15.00 0.75 11.47 -25.35 0.45 63.84
600887.SS 伊利股份 57.09 24.20 7.98 12.56 6.93 5.69 23.85 -216.14 27.32 36.40 6.40 11.42 -32.35 0.35 -
NFLX Netflix In 71.83 22.08 8.19 28.90 5.58 72.92 36.13 -35.24 59.87 137.14 1.88 11.06 -44.18 0.25 -
3908.HK 中金公司 86.23 8.66 25.33 34.26 5.38 39.22 8.31 -159.43 - 53.86 1.37 10.01 -43.57 0.23 -356.60
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
PFE Pfizer Inc 58.84 22.12 32.59 -6.56 1.79 -14.22 -40.91 -5.08 22.93 14.97 - 8.45 -35.43 0.24 -54.60
000651.SZ 格力电器 58.14 26.13 13.45 6.56 -21.30 0.34 -13.16 9.95 13.87 14.11 41.65 7.36 -29.48 0.25 -8.68
601318.SS 中国平安 89.63 19.77 10.76 8.44 2.13 18.48 0.81 30.57 8.73 10.49 0.57 6.81 -27.70 0.25 67.93
600489.SS 中金黄金 44.27 3.80 1.64 13.64 8.12 124.57 20.74 -40.46 27.32 63.62 0.51 3.65 -35.32 0.10 -1075.91
000002.SZ 万 科A 81.28 20.50 10.84 20.02 3.46 14.10 0.10 25.80 7.32 8.33 0.59 2.63 -25.77 0.10 72.92
600000.SS 浦发银行 91.88 11.54 50.05 1.01 2.01 2.47 2.29 -67.43 5.77 5.28 2.14 2.57 -25.94 0.10 -
601398.SS 工商银行 91.27 12.72 50.13 0.07 0.76 3.38 0.39 -104.59 6.01 5.82 1.72 2.09 -16.97 0.12 -41723.95
BABA Alibaba Gr 33.70 17.71 26.46 47.99 26.39 51.30 6.51 28.25 24.47 7.01 0.14 1.79 -38.06 0.05 78.56
GILD Gilead Sci 73.36 18.18 16.72 -1.27 3.54 -27.04 144.72 -10.75 280.96 21.78 - 1.68 -30.47 0.06 -5.53
002027.SZ 分众传媒 20.21 34.01 34.64 1.40 13.68 14.23 33.23 23.11 26.89 32.99 2.32 0.70 -64.78 0.01 -80.61
WFC Wells Farg 90.49 9.67 20.40 -11.14 9.26 -31.62 123.87 - 32.25 11.54 - -2.25 -61.21 -0.04 -
3613.HK 同仁堂国药 8.41 19.63 39.28 2.01 -8.19 3.94 -2.46 -19.44 - 19.82 5.03 -3.84 -47.83 -0.08 -282.28
EDU New Orient 56.23 14.10 11.65 26.03 7.95 20.64 -4.90 -1.15 38.42 51.36 2.49 -4.38 -53.91 -0.08 -141.11
1068.HK 雨润食品 135.43 38.19 -23.16 8.40 -0.08 27.51 -48.76 12.50 - - - -4.58 -79.57 -0.06 -
TCOM Trip 45.76 1.84 3.39 -5.97 -48.65 111.92 -146.31 -56.07 - 13.42 0.12 -7.48 -58.18 -0.13 -305.28
600066.SS 宇通客车 53.64 12.11 6.35 -12.40 3.78 -38.50 6.31 -3.73 58.85 15.33 - -10.01 -50.98 -0.20 -73.96
BIDU Baidu Inc 42.34 11.59 17.64 7.63 -0.32 316.86 992.46 -11.75 19.24 3.69 0.01 -11.23 -69.37 -0.16 70.09
SOGO Sogou Inc 29.89 4.04 3.43 2.30 -21.12 -70.36 -221.45 -4.09 - 79.59 - -12.06 -80.82 -0.15 -288.58
TAL TAL Educat 57.03 5.10 4.99 38.17 37.35 -13.23 5.26 340.43 - 212.22 - -13.27 -66.72 -0.20 95.57
YY JOYY Inc 22.90 16.55 29.44 16.64 -48.27 85.34 184.34 3.79 3.82 1.29 0.02 -14.07 -64.64 -0.22 89.32
WB Weibo Corp 54.44 23.78 27.62 15.96 -4.36 4.01 -36.65 12.40 34.59 25.11 6.26 -22.95 -73.22 -0.31 -7.68
XNET Xunlei Lim 30.13 -10.96 -18.19 -1.18 3.16 -11.58 -73.97 22.97 - - - -32.68 -87.88 -0.37 -
MOMO Momo Inc 36.11 23.50 19.16 22.03 -11.70 2.46 -29.20 14.14 9.32 1.14 0.46 -33.90 -74.83 -0.45 95.54
2298.HK 都市丽人 46.44 -9.33 -5.31 -10.94 -25.10 -171.57 -90.90 153.46 - - - -34.32 -89.80 -0.38 66.34
600340.SS 华夏幸福 81.29 21.44 11.59 20.76 -11.43 -5.88 -179.20 57.88 5.59 2.16 - -34.48 -79.22 -0.44 -
1810.HK 小米集团-W 51.11 20.56 -4.33 29.91 19.45 -18.05 102.66 -121.70 - 23181.24 - - -61.25 - -
3690.HK 美团-W 41.39 -19.90 -56.90 52.67 17.75 172.94 110.31 219.37 - - - - -45.95 - -
1024.HK 快手-W 406.92 58.33 -137.56 95.46 50.24 171.21 493.52 -317.01 - - - - -53.18 - -
9992.HK 泡泡玛特 12.05 33.03 16.99 167.33 49.31 2204.10 16.05 1216.11 - 390.98 0.18 - -51.38 - 98.41
6055.HK 中烟香港 56.43 21.51 3.60 -14.50 -61.22 -23.96 -70.15 -17.49 - 48.38 - - -47.31 - -357.19
2359.HK 药明康德 29.32 12.99 17.91 28.72 10.66 41.96 40.43 -86.40 - 211.05 5.03 - -34.12 - -846116.14
9626.HK 哔哩哔哩-SW 67.39 -9.33 -20.55 69.49 77.03 83.54 133.65 -110.94 - - - - -25.19 - -
TLSA Tiziana Li 11.70 -255.94 - - - 63.37 180.29 25.17 - - - - -73.39 - -
NIO NIO Inc 41.69 -28.88 -217.18 inf 40.66 35.53 56.18 -7.85 - - - - -88.62 - -
LI Li Auto In 18.06 35.47 -429.57 inf 3225.49 -17.32 -93.78 -85.61 - - - - -61.31 - -
XPEV XPeng Inc 22.99 36.71 -4872.58 11983.54 151.78 68.96 -26.00 25.86 - - - - -67.35 - -
FUTU Futu Holdi 88.35 -16.57 19.01 134.20 221.47 -363.29 700.13 361.72 119.18 55.97 - - -55.21 - 99.71
TIGR UP Fintech 89.25 38.57 -43.16 98.63 135.32 15.60 -343.80 -295.56 234.21 - - - -90.00 - -
NIU Niu Techno 46.21 9.14 -7.89 50.10 17.73 -25.58 -11.28 -22.35 101.93 - - - -59.08 - -257.08

历史回测

Stat                 WeighEqually    WeighInvVol    SPY         CSI300
-------------------  --------------  -------------  ----------  ----------
Start                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
Risk-free rate       0.00%           0.00%          0.00%       0.00%

Total Return         316.09%         257.70%        120.83%     84.19%
Daily Sharpe         1.67            1.68           0.98        0.77
Daily Sortino        2.72            2.71           1.46        1.27
CAGR                 33.19%          29.20%         17.26%      13.06%
Max Drawdown         -25.20%         -21.43%        -33.71%     -31.29%
Calmar Ratio         1.32            1.36           0.51        0.42

MTD                  0.02%           -0.08%         -0.07%      -0.21%
3m                   -4.01%          -3.03%         10.15%      -2.51%
6m                   14.77%          10.01%         15.06%      3.67%
YTD                  9.09%           6.09%          12.37%      0.57%
1Y                   79.39%          59.87%         36.29%      33.66%
3Y (ann.)            31.70%          28.82%         17.22%      13.01%
5Y (ann.)            33.19%          29.20%         17.26%      13.06%
10Y (ann.)           -               -              -           -
Since Incep. (ann.)  33.19%          29.20%         17.26%      13.06%

Daily Sharpe         1.67            1.68           0.98        0.77
Daily Sortino        2.72            2.71           1.46        1.27
Daily Mean (ann.)    32.70%          29.01%         18.98%      15.13%
Daily Vol (ann.)     19.58%          17.28%         19.33%      19.73%
Daily Skew           -0.41           -0.47          -0.78       0.03
Daily Kurt           4.28            4.89           17.89       6.74
Best Day             6.57%           6.48%          9.06%       9.47%
Worst Day            -7.83%          -7.14%         -10.94%     -8.43%

Monthly Sharpe       1.60            1.60           1.10        0.79
Monthly Sortino      3.47            3.53           1.81        1.59
Monthly Mean (ann.)  30.63%          27.15%         16.93%      12.98%
Monthly Vol (ann.)   19.18%          16.96%         15.45%      16.37%
Monthly Skew         -0.07           -0.08          -0.76       0.28
Monthly Kurt         0.80            0.51           2.26        0.57
Best Month           17.16%          13.77%         12.70%      14.40%
Worst Month          -11.72%         -10.33%        -12.49%     -8.64%

Yearly Sharpe        1.00            1.03           1.14        0.53
Yearly Sortino       9.24            8.48           6.58        1.25
Yearly Mean          37.79%          32.42%         15.88%      13.49%
Yearly Vol           37.96%          31.49%         13.94%      25.27%
Yearly Skew          -0.10           -0.63          -0.77       -0.90
Yearly Kurt          -1.65           -2.50          1.28        -0.33
Best Year            84.46%          61.60%         32.37%      38.60%
Worst Year           -9.14%          -8.54%         -5.40%      -24.16%

Avg. Drawdown        -2.72%          -2.33%         -1.45%      -3.07%
Avg. Drawdown Days   18.81           18.89          13.28       44.47
Avg. Up Month        5.33%           4.88%          3.14%       3.80%
Avg. Down Month      -3.44%          -2.96%         -4.84%      -3.61%
Win Year %           80.00%          80.00%         80.00%      80.00%
Win 12m %            90.00%          92.00%         96.00%      80.00%

png

指标说明

  1. 负债率: 总负债/总资产,最近一期年报
  2. 应收比: 应收款/总营收,最近一期年报
  3. 商誉比:商誉/总资产,最近一期年报
  4. ROE:净利润/归属于上市公司股东净资产,4年平均值
  5. 利润率:净利润/总营收,4年平均值
  6. 收入增长:总营收年同比增长,3年平均
  7. 盈利:净利润,4年平均
  8. 盈利增长:净利润年同比增长,3年平均
  9. FCF:自由现金流,4年平均
  10. FCF增长:自由现金流年同比增长,3年平均
  11. 波动:年同比增长的标准差
  12. TTM: (最近12个月/最新年报 - 1)*100
  13. PEm: 当前市值/4年平均盈利
  14. PEG: PEm/盈利增长
  15. CARG: 3年复合增长
  16. Sharpe、Sortino、Calmar根据最近3年价格计算
  17. 回报率: 3年总回报