全球精选

Last Update: 2021-06-11

雪球实盘:

建立日期: 2021年6月11日

选股

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 Score 价格
Symbol
MPWR Monolithic 20.02 15.00 17.18 21.99 34.48 38.62 51.03 50.72 97.08 888.26 1.90 35.86 -31.02 8.18 7.00
TROW T 13.04 29.13 35.30 8.57 5.87 16.67 17.12 1088.12 16.51 142.72 0.96 18.80 -37.96 7.87 8.00
ERII Energy Rec 16.00 15.71 22.73 20.44 6.22 37.19 23.67 -306.59 42.72 376.11 1.81 32.30 -44.59 7.75 7.00
FB Facebook I 19.47 22.18 34.71 28.52 9.81 26.68 15.76 12.46 28.31 277.26 1.80 19.80 -42.96 7.62 7.00
MNST Monster Be 16.80 25.61 26.87 10.94 9.47 19.93 27.24 14.54 35.43 289.51 1.30 18.57 -27.60 7.57 7.00
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 1.40 12.23 -45.79 7.52 7.00
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 4.97 111.24 -42.52 7.45 2.00
CPRT Copart Inc 27.95 30.93 27.77 15.27 11.97 21.96 20.88 2.37 42.37 356.19 2.03 29.59 -43.75 7.16 5.00
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 5.21 55.19 -39.63 6.96 1.00
300529.SZ 健帆生物 11.91 25.48 40.97 39.53 10.25 45.56 11.30 68.14 75.31 135.26 6.67 59.52 -55.71 6.86 0.10
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 2.79 13.14 -27.78 6.81 5.00
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 6.99 57.25 -43.75 6.59 0.10
603444.SS 吉比特 21.16 26.31 40.37 24.14 13.78 19.94 4.11 66.50 38.19 52.21 9.28 62.78 -53.22 6.43 0.10
300653.SZ 正海生物 19.72 16.38 38.07 17.52 19.53 24.83 20.77 -25.18 61.49 95.06 2.96 14.18 -52.67 6.34 5.00
300628.SZ 亿联网络 9.97 24.39 46.38 26.19 3.39 30.91 0.66 28.68 51.88 67.87 78.49 51.65 -36.17 6.30 0.10
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 5.90 48.69 -35.85 6.30 1.00
2269.HK 药明生物 27.84 7.58 24.01 51.54 40.88 92.32 66.59 146.45 - 471.08 - 57.75 -50.94 6.27 0.10
TREX Trex Compa 23.62 35.61 18.96 16.06 18.18 23.45 21.34 -26.07 64.72 521.97 3.03 45.46 -42.36 6.17 2.00
603986.SS 兆易创新 8.68 15.96 19.04 31.22 17.76 32.29 15.14 -297.55 65.72 118.18 4.34 41.50 -54.40 6.13 2.00
603160.SS 汇顶科技 18.72 25.04 26.16 26.11 1.02 55.80 -2.90 18.94 37.02 42.03 - 21.93 -73.31 6.00 0.10
002223.SZ 鱼跃医疗 25.54 15.16 19.12 24.67 4.02 53.35 4.36 271.92 18.13 34.66 4.16 14.69 -36.79 5.38 2.00
VRTX Vertex Pha 26.08 27.71 37.84 36.04 3.37 260.79 1.86 61.71 20.01 220.55 10.77 11.64 -31.77 5.11 0.10
002507.SZ 涪陵榨菜 14.06 23.03 31.60 14.70 9.95 26.55 4.84 -290.57 38.74 51.25 8.00 14.52 -37.23 5.04 0.10

历史回测

png

Stat                 SPY         CSI300      ERC7        ERC30       InvVol7     InvVol30    EQ
-------------------  ----------  ----------  ----------  ----------  ----------  ----------  ----------
Start                2019-12-19  2019-12-19  2019-12-19  2019-12-19  2019-12-19  2019-12-19  2019-12-19
End                  2021-06-10  2021-06-10  2021-06-10  2021-06-10  2021-06-10  2021-06-10  2021-06-10
Risk-free rate       0.00%       0.00%       0.00%       0.00%       0.00%       0.00%       0.00%

Total Return         33.27%      27.48%      80.90%      83.52%      73.64%      75.93%      94.21%
Daily Sharpe         0.86        0.87        1.94        2.01        1.82        1.89        2.13
Daily Sortino        1.29        1.43        3.06        3.15        2.86        2.94        3.35
CAGR                 21.49%      17.88%      49.43%      50.90%      45.34%      46.64%      56.80%
Max Drawdown         -33.71%     -16.09%     -19.33%     -20.34%     -20.61%     -21.89%     -21.08%
Calmar Ratio         0.64        1.11        2.56        2.50        2.20        2.13        2.69

MTD                  0.85%       -0.81%      2.74%       2.60%       2.06%       2.17%       3.04%
3m                   9.09%       5.78%       20.73%      20.62%      17.05%      18.74%      22.98%
6m                   16.38%      5.57%       20.61%      24.87%      20.86%      21.85%      24.76%
YTD                  13.67%      0.04%       18.12%      20.56%      15.85%      17.59%      20.00%
1Y                   34.92%      30.92%      42.77%      52.75%      41.16%      47.04%      49.61%
3Y (ann.)            21.49%      17.88%      49.43%      50.90%      45.34%      46.64%      56.80%
5Y (ann.)            -           -           -           -           -           -           -
10Y (ann.)           -           -           -           -           -           -           -
Since Incep. (ann.)  21.49%      17.88%      49.43%      50.90%      45.34%      46.64%      56.80%

Daily Sharpe         0.86        0.87        1.94        2.01        1.82        1.89        2.13
Daily Sortino        1.29        1.43        3.06        3.15        2.86        2.94        3.35
Daily Mean (ann.)    25.42%      20.55%      46.31%      47.31%      43.31%      44.16%      51.62%
Daily Vol (ann.)     29.49%      23.51%      23.82%      23.58%      23.83%      23.36%      24.22%
Daily Skew           -0.64       -0.05       -0.77       -0.85       -0.83       -0.90       -0.82
Daily Kurt           9.52        7.57        4.17        5.13        4.73        5.77        3.99
Best Day             9.06%       9.47%       5.31%       5.94%       5.83%       6.16%       5.46%
Worst Day            -10.94%     -8.43%      -7.98%      -8.38%      -8.28%      -8.56%      -8.02%

Monthly Sharpe       0.98        0.99        2.31        2.47        2.09        2.21        2.38
Monthly Sortino      1.66        2.37        5.42        5.43        5.40        5.14        5.73
Monthly Mean (ann.)  21.66%      17.78%      41.69%      42.56%      38.95%      39.76%      46.89%
Monthly Vol (ann.)   22.18%      18.00%      18.01%      17.26%      18.61%      18.00%      19.73%
Monthly Skew         -0.71       0.51        -0.56       -0.85       -0.17       -0.52       -0.56
Monthly Kurt         0.85        0.32        0.29        0.92        -0.33       0.04        0.05
Best Month           12.70%      13.69%      12.50%      11.13%      12.54%      10.78%      12.06%
Worst Month          -12.48%     -6.71%      -8.16%      -8.68%      -7.63%      -8.40%      -8.80%

Yearly Sharpe        6.12        0.71        1.44        1.63        1.37        1.48        1.38
Yearly Sortino       inf         inf         inf         inf         inf         inf         inf
Yearly Mean          15.46%      13.73%      35.63%      36.39%      32.87%      33.60%      40.92%
Yearly Vol           2.53%       19.37%      24.77%      22.39%      24.06%      22.65%      29.58%
Yearly Skew          -           -           -           -           -           -           -
Yearly Kurt          -           -           -           -           -           -           -
Best Year            17.24%      27.43%      53.15%      52.23%      49.88%      49.61%      61.84%
Worst Year           13.67%      0.04%       18.12%      20.56%      15.85%      17.59%      20.00%

Avg. Drawdown        -2.02%      -4.53%      -2.69%      -2.62%      -2.95%      -2.80%      -2.67%
Avg. Drawdown Days   11.03       34.50       12.06       11.74       15.44       13.03       11.66
Avg. Up Month        4.84%       5.08%       5.52%       5.56%       5.28%       4.93%       6.17%
Avg. Down Month      -6.09%      -3.02%      -3.69%      -3.51%      -3.86%      -4.75%      -4.03%
Win Year %           100.00%     100.00%     100.00%     100.00%     100.00%     100.00%     100.00%
Win 12m %            100.00%     100.00%     100.00%     100.00%     100.00%     100.00%     100.00%

当前仓位

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 Score 价格 EQ ERC7 ERC30 VOL7 VOL30 W D
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 2.79 13.14 -27.78 6.81 5.00 4.26 5.65 6.98 12.55 10.09 7.79 U
VRTX Vertex Pha 26.08 27.71 37.84 36.04 3.37 260.79 1.86 61.71 20.01 220.55 10.77 11.64 -31.77 5.11 0.10 4.43 6.51 6.72 8.53 10.70 7.61 D
TROW T 13.04 29.13 35.30 8.57 5.87 16.67 17.12 1088.12 16.51 142.72 0.96 18.80 -37.96 7.87 8.00 4.29 5.51 6.81 8.02 6.72 6.27 U
TREX Trex Compa 23.62 35.61 18.96 16.06 18.18 23.45 21.34 -26.07 64.72 521.97 3.03 45.46 -42.36 6.17 2.00 4.40 7.71 6.79 9.23 4.32 5.91 U
MNST Monster Be 16.80 25.61 26.87 10.94 9.47 19.93 27.24 14.54 35.43 289.51 1.30 18.57 -27.60 7.57 7.00 4.29 8.20 4.94 7.95 5.98 5.75 U
CPRT Copart Inc 27.95 30.93 27.77 15.27 11.97 21.96 20.88 2.37 42.37 356.19 2.03 29.59 -43.75 7.16 5.00 4.22 6.82 6.03 4.11 5.42 5.37 D
FB Facebook I 19.47 22.18 34.71 28.52 9.81 26.68 15.76 12.46 28.31 277.26 1.80 19.80 -42.96 7.62 7.00 4.33 3.90 3.68 5.28 5.22 4.45 U
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 4.97 111.24 -42.52 7.45 2.00 4.55 4.02 4.88 3.00 4.29 4.37 D
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 6.99 57.25 -43.75 6.59 0.10 4.10 5.49 3.34 9.46 3.46 4.36 U
002223.SZ 鱼跃医疗 25.54 15.16 19.12 24.67 4.02 53.35 4.36 271.92 18.13 34.66 4.16 14.69 -36.79 5.38 2.00 4.62 3.69 4.70 2.54 4.55 4.32 D
MPWR Monolithic 20.02 15.00 17.18 21.99 34.48 38.62 51.03 50.72 97.08 888.26 1.90 35.86 -31.02 8.18 7.00 4.30 6.26 3.82 4.96 3.24 4.10 U
603444.SS 吉比特 21.16 26.31 40.37 24.14 13.78 19.94 4.11 66.50 38.19 52.21 9.28 62.78 -53.22 6.43 0.10 4.86 4.31 4.31 1.36 3.45 3.87 D
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 5.21 55.19 -39.63 6.96 1.00 4.43 3.40 3.79 2.25 3.72 3.70 D
300628.SZ 亿联网络 9.97 24.39 46.38 26.19 3.39 30.91 0.66 28.68 51.88 67.87 78.49 51.65 -36.17 6.30 0.10 4.59 3.38 3.73 2.44 3.24 3.59 D
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 1.40 12.23 -45.79 7.52 7.00 3.94 4.45 3.65 1.71 3.21 3.46 D
ERII Energy Rec 16.00 15.71 22.73 20.44 6.22 37.19 23.67 -306.59 42.72 376.11 1.81 32.30 -44.59 7.75 7.00 4.58 3.88 3.19 3.15 2.47 3.32 U
300529.SZ 健帆生物 11.91 25.48 40.97 39.53 10.25 45.56 11.30 68.14 75.31 135.26 6.67 59.52 -55.71 6.86 0.10 4.39 2.60 3.82 1.36 2.96 3.31 D
002507.SZ 涪陵榨菜 14.06 23.03 31.60 14.70 9.95 26.55 4.84 -290.57 38.74 51.25 8.00 14.52 -37.23 5.04 0.10 4.08 3.26 2.91 2.84 3.35 3.31 D
603986.SS 兆易创新 8.68 15.96 19.04 31.22 17.76 32.29 15.14 -297.55 65.72 118.18 4.34 41.50 -54.40 6.13 2.00 4.45 3.30 2.53 3.45 3.02 3.23 U
603160.SS 汇顶科技 18.72 25.04 26.16 26.11 1.02 55.80 -2.90 18.94 37.02 42.03 - 21.93 -73.31 6.00 0.10 4.17 1.75 3.59 1.57 3.13 3.18 D
2269.HK 药明生物 27.84 7.58 24.01 51.54 40.88 92.32 66.59 146.45 - 471.08 - 57.75 -50.94 6.27 0.10 4.26 1.89 3.60 1.31 2.89 3.12 D
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 5.90 48.69 -35.85 6.30 1.00 4.49 2.13 3.48 1.26 2.61 3.06 D
300653.SZ 正海生物 19.72 16.38 38.07 17.52 19.53 24.83 20.77 -25.18 61.49 95.06 2.96 14.18 -52.67 6.34 5.00 3.88 1.78 2.61 1.53 1.87 2.45 D