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基于双步骤有效因子筛选的多因子选股策略周报

我们对“基于双步骤有效因子筛选的多因子选股策略”进行动态结果追踪。以前36月数据为依据进行因子筛选和股票池筛选的情况下,策略表现结果如表1所示。全部A股而言,策略本周(截止415日的当周)回报在5.20%5.74%之间,超额回报在0.81%1.14%之间;小市值样本而言,策略本周回报在6.56%7.32%之间,超额回报在0.83%1.36%之间。今年以来,全样本下策略的超额回报最高达5.33%,小市值样本下的超额回报最高达8.22%.

 

1基于双步骤有效因子筛选的多因子选股策略表现

 

因子选择标准

本周回报

本周超额回报

4月以来回报

4月以来超额回报

今年以来回报

今年以来超额回报

全样本

ic_ir>0.3

5.74%

1.14%

7.96%

2.27%

-11.04%

5.33%

ic_ir>0.5

5.36%

0.95%

8.13%

2.32%

-11.56%

4.89%

rankic_ir>0.3

5.40%

0.97%

8.12%

2.31%

-11.56%

4.88%

rankic_ir>0.5

5.33%

0.90%

8.13%

2.31%

-11.56%

4.88%

t>1.5

5.20%

0.81%

7.92%

2.18%

-11.39%

4.97%

t>2.0

5.33%

0.90%

8.13%

2.31%

-11.56%

4.88%

小市值

ic_ir>0.3

7.32%

1.36%

12.47%

3.74%

-4.01%

8.22%

ic_ir>0.5

6.93%

1.10%

11.33%

2.57%

-6.77%

5.47%

rankic_ir>0.3

6.83%

1.00%

11.59%

2.81%

-6.81%

5.41%

rankic_ir>0.5

6.88%

0.99%

11.16%

2.36%

-7.72%

4.49%

t>1.5

6.56%

0.83%

10.77%

2.07%

-9.00%

3.37%

t>2.0

6.88%

0.99%

11.16%

2.36%

-6.95%

5.26%

数据来源:wind

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