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4月22日的当周）回报在-5.03%至-5.80%之间，超额回报在0.35%至0.82%之间；小市值样本而言，策略本周回报在-4.18%至-4.69%之间，超额回报在0.98%至1.50%之间。今年以来，全样本下策略的超额回报最高达5.74%，小市值样本下的超额回报最高达8.93%.
表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 |
-5.03% |
0.82% |
2.52% |
3.03% |
-15.52% |
5.74% |
|
ic_ir>0.5 |
-5.80% |
0.39% |
1.85% |
2.59% |
-16.69% |
4.93% |
|
|
rankic_ir>0.3 |
-5.72% |
0.43% |
1.93% |
2.63% |
-16.62% |
4.96% |
|
|
rankic_ir>0.5 |
-5.78% |
0.39% |
1.88% |
2.59% |
-16.67% |
4.93% |
|
|
t>1.5 |
-5.78% |
0.35% |
1.68% |
2.43% |
-16.52% |
4.98% |
|
|
t>2.0 |
-5.78% |
0.39% |
1.88% |
2.59% |
-16.67% |
4.93% |
|
|
小市值 |
ic_ir>0.3 |
-4.18% |
1.20% |
7.76% |
4.88% |
-8.03% |
8.93% |
|
ic_ir>0.5 |
-4.24% |
1.50% |
6.61% |
4.10% |
-10.73% |
6.56% |
|
|
rankic_ir>0.3 |
-4.43% |
1.27% |
6.64% |
4.07% |
-10.94% |
6.29% |
|
|
rankic_ir>0.5 |
-4.34% |
1.38% |
6.33% |
3.75% |
-11.72% |
5.50% |
|
|
t>1.5 |
-4.69% |
0.98% |
5.57% |
3.04% |
-13.27% |
4.07% |
|
|
t>2.0 |
-4.34% |
1.38% |
6.33% |
3.75% |
-10.98% |
6.24% |
0
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