选股
Update: 20210609
稳健成长
选择指标
- 负债率 < 70%
- ROE >= 15%
- 利润率 >= 20%
- 收入增长 >= 10% 且 盈利增长 >= 10%
- 收入增长TTM >= 5% 且 盈利增长TTM >= 5%
- CAGR > 5%
- 最大回撤 < 50%
- 市值 > 5B USD
| 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%
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%
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%
指标说明
- 负债率: 总负债/总资产，最近一期年报
- 应收比: 应收款/总营收，最近一期年报
- 商誉比：商誉/总资产，最近一期年报
- ROE：净利润/归属于上市公司股东净资产，4年平均值
- 利润率：净利润/总营收，4年平均值
- 收入增长：总营收年同比增长，3年平均
- 盈利：净利润，4年平均
- 盈利增长：净利润年同比增长，3年平均
- FCF：自由现金流，4年平均
- FCF增长：自由现金流年同比增长，3年平均
- 波动：年同比增长的标准差
- TTM: (最近12个月/最新年报 - 1)*100
- PEm: 当前市值/4年平均盈利
- PEG: PEm/盈利增长
- CARG: 3年复合增长
- Sharpe、Sortino、Calmar根据最近3年价格计算
- 回报率: 3年总回报
