LIQ001因子集市流动性因子中风险
资金流强度因子
对比上涨日与下跌日的成交量，识别资金净流入的股票。
计算公式
Score = Sum(Vol_up) / Sum(Vol_down)历史绩效（Top30 等权多头，月度调仓）
年化收益
1.83%
夏普比率
0.20
最大回撤
-29.65%
累计收益
19.87%
累计净值（2016-09 … 2026-08）
2016 -7.4%2017 -2.0%2018 -7.7%2019 +5.4%2020 +28.0%2021 +7.1%2022 +21.3%2023 -9.1%2024 -10.0%2025 -5.0%2026 +5.1%
当前 Top30 持仓
| # | Ticker | 公司 | 得分 |
|---|---|---|---|
| 1 | FE | FirstEnergy | 47.224 |
| 2 | AIG | American Intl Group | 21.225 |
| 3 | MAA | Mid-America Apartment | 14.136 |
| 4 | SHW | Sherwin-Williams | 9.610 |
| 5 | PEG | Public Service Enterprise | 6.237 |
| 6 | FDX | FedEx | 5.870 |
| 7 | KIM | Kimco Realty | 5.690 |
| 8 | SBAC | SBA Communications | 4.989 |
| 9 | BAC | Bank of America | 4.885 |
| 10 | KVUE | Kenvue | 4.573 |
| 11 | SBUX | Starbucks | 4.205 |
| 12 | CI | Cigna | 4.184 |
| 13 | PPG | PPG Industries | 4.069 |
| 14 | AMT | American Tower | 3.656 |
| 15 | ADP | ADP | 3.554 |
| 16 | MA | Mastercard | 3.312 |
| 17 | KMB | Kimberly-Clark | 3.257 |
| 18 | USB | U.S. Bancorp | 3.255 |
| 19 | PRU | Prudential Financial | 3.231 |
| 20 | TJX | TJX Companies | 3.231 |
| 21 | PLD | Prologis | 3.211 |
| 22 | EIX | Edison International | 3.181 |
| 23 | CCI | Crown Castle | 3.001 |
| 24 | WFC | Wells Fargo | 2.975 |
| 25 | ALL | Allstate | 2.953 |
| 26 | KHC | Kraft Heinz | 2.914 |
| 27 | MDLZ | Mondelez | 2.906 |
| 28 | HON | Honeywell | 2.901 |
| 29 | TMO | Thermo Fisher | 2.868 |
| 30 | MET | MetLife | 2.763 |
按上方公式在确定性研究面板最近月末观测（2026-08）计算的截面 Top30。
数据导出
导出包含公式、绩效统计、120 个月序列与当前持仓——本地复刻所需的一切。