多因子价值成长轮动策略:年化收益率（5.5%）
本策略综合考虑市盈率PE、市净率PB、净资产收益率ROE和净利润增长率四个关键因子，构建多因子综合评分体系，每月初选择综合得分最高的5只股票构建投资组合并等权重持有，旨在获取价值和成长兼具的股票带来的超额收益。
概要
核心指标
- 累计收益率: 12.88%
- 年化收益率: 5.5%
- 基准收益率: 43.51%
- 阿尔法: -0.08
- 夏普比率: 0.22
- 最大回撤: 24.85%
源码
查看AI策略代码
绩效
持仓详情
|
当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-05-15 | 宏力达(688330.SH) | 40.412119545938 | 5638 | 8 | 39.93 | 225125.34 | -2718.19/-1.193% |
| 2026-05-15 | 越秀资本(000987.SZ) | 9.0027 | 25300 | 8 | 8.36 | 211508 | -16260.31/-7.139% |
| 2026-05-15 | 黔源电力(002039.SZ) | 20.386114285714 | 11200 | 8 | 20.25 | 226800 | -1524.48/-0.668% |
| 2026-05-15 | 朗姿股份(002612.SZ) | 18.385944680851 | 14100 | 51 | 16.39 | 231099 | -28142.82/-10.856% |
| 2026-05-15 | 建投能源(000600.SZ) | 9.0991618156223 | 23983 | 128 | 9.73 | 233354.59 | 15129.39/6.933% |
| 2026-05-14 | 宏力达(688330.SH) | 40.412119545938 | 5638 | 7 | 40.36 | 227549.68 | -293.85/-0.129% |
| 2026-05-14 | 越秀资本(000987.SZ) | 9.0027 | 25300 | 7 | 8.64 | 218592 | -9176.31/-4.029% |
| 2026-05-14 | 黔源电力(002039.SZ) | 20.386114285714 | 11200 | 7 | 20.94 | 234528 | 6203.52/2.717% |
| 2026-05-14 | 朗姿股份(002612.SZ) | 18.385944680851 | 14100 | 50 | 16.11 | 227151 | -32090.82/-12.379% |
| 2026-05-14 | 建投能源(000600.SZ) | 9.0991618156223 | 23983 | 127 | 9.92 | 237911.36 | 19686.16/9.021% |
交易详情
| 2026-05-06 | 滨江集团(002244.SZ) | 卖 | -23000 | 9.59 | -220570 | ¥286.74 | -6047.97 |
| 2026-05-06 | 紫江企业(600210.SH) | 卖 | -32600 | 7.01 | -228526 | ¥297.08 | 1561.93 |
| 2026-05-06 | 尖峰集团(600668.SH) | 卖 | -21771 | 10.95 | -238392.45 | ¥309.91 | 10868.6 |
| 2026-05-06 | 建投能源(000600.SZ) | 卖 | -500 | 9.65 | -4825 | ¥9.83 | 275.42 |
| 2026-05-06 | 宏力达(688330.SH) | 买 | 5638 | 40.4 | 227775.2 | ¥68.33 | 0 |
| 2026-05-06 | 朗姿股份(002612.SZ) | 买 | 600 | 16.24 | 9744 | ¥5 | 0 |
| 2026-05-06 | 黔源电力(002039.SZ) | 买 | 11200 | 20.38 | 228256 | ¥68.48 | 0 |
| 2026-05-06 | 越秀资本(000987.SZ) | 买 | 25300 | 9 | 227700 | ¥68.31 | 0 |
| 2026-04-01 | 京能电力(600578.SH) | 卖 | -44400 | 5.15 | -228660 | ¥297.26 | 12924.94 |
| 2026-04-01 | 中国人保(601319.SH) | 卖 | -29186 | 7.36 | -214808.96 | ¥279.25 | 12473.37 |
