转股溢价率买低策略:年化收益率（19.42%）
转股溢价率低可以让可转债具有股性和进攻性，这样攻守兼备就是我们所追求的。因此我们构建一个可转债的组合，持有5只标的，按可转债升序排序，过滤掉剩余余额不足1.5亿和剩余时间不足120天的可转债。然后持有5天进行轮仓。
概要
核心指标
- 累计收益率: 141.19%
- 年化收益率: 19.42%
- 基准收益率: -17.33%
- 阿尔法: 0.25
- 夏普比率: 0.64
- 最大回撤: 25.03%
源码
查看AI策略代码
绩效
持仓详情
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当日收盘价 | 当日市值 | 浮动收益/浮动收益率
|
|||||
|---|---|---|---|---|---|---|---|
| 2026-04-02 | 阿拉转债(118006.SH) | 131.73950958904 | 3650 | 4 | 125.03 | 456359.5 | -24489.71/-5.093% |
| 2026-04-02 | 金宏转债(118038.SH) | 152.56575595238 | 3260 | 9 | 138.97 | 453042.2 | -44322.16/-8.911% |
| 2026-04-02 | 汇成转债(118049.SH) | 184.45531985294 | 2720 | 9 | 181.92 | 494822.4 | -6896.07/-1.374% |
| 2026-04-02 | 睿创转债(118030.SH) | 253.87614 | 2000 | 9 | 260.65 | 521300 | 13547.72/2.668% |
| 2026-04-02 | 通裕转债(123149.SZ) | 149.40851490515 | 3690 | 14 | 131.75 | 486157.5 | -65159.92/-11.819% |
| 2026-04-01 | 阿拉转债(118006.SH) | 131.73950958904 | 3650 | 3 | 131.87 | 481325.5 | 476.29/0.099% |
| 2026-04-01 | 金宏转债(118038.SH) | 152.56575595238 | 3260 | 8 | 134.01 | 436872.6 | -60491.76/-12.162% |
| 2026-04-01 | 汇成转债(118049.SH) | 184.45531985294 | 2720 | 8 | 194.02 | 527734.4 | 26015.93/5.185% |
| 2026-04-01 | 睿创转债(118030.SH) | 253.87614 | 2000 | 8 | 265.59 | 531180 | 23427.72/4.614% |
| 2026-04-01 | 通裕转债(123149.SZ) | 149.40851490515 | 3690 | 13 | 132.85 | 490216.5 | -61100.92/-11.083% |
交易详情
| 2026-03-30 | 水羊转债(123188.SZ) | 卖 | -2900 | 168 | -487200 | ¥146.16 | 8556.45 |
| 2026-03-30 | 金宏转债(118038.SH) | 卖 | -100 | 163.1 | -16310 | ¥5 | 1053.42 |
| 2026-03-30 | 通裕转债(123149.SZ) | 买 | 170 | 135.6 | 23052 | ¥6.92 | 0 |
| 2026-03-30 | 阿拉转债(118006.SH) | 买 | 3650 | 131.7 | 480705 | ¥144.21 | 0 |
| 2026-03-23 | 伟测转债(118055.SH) | 卖 | -2490 | 205 | -510450 | ¥153.14 | -25060.61 |
| 2026-03-23 | 塞力转债(113601.SH) | 卖 | -2690 | 171 | -459990 | ¥138 | -64717.37 |
| 2026-03-23 | 永22转债(113653.SH) | 卖 | -4700 | 106.1 | -498670 | ¥149.6 | -20929.83 |
| 2026-03-23 | 利扬转债(118048.SH) | 卖 | -3010 | 168 | -505680 | ¥151.7 | -30260.73 |
| 2026-03-23 | 通裕转债(123149.SZ) | 买 | 10 | 142 | 1420 | ¥5 | 0 |
| 2026-03-23 | 睿创转债(118030.SH) | 买 | 2000 | 253.8 | 507600 | ¥152.28 | 0 |
