财新传媒
位置:博客 > 何诚颖 > 基于双步骤有效因子筛选的多因子选股策略周报

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422日的当周)回报在-5.03%-5.80%之间,超额回报在0.35%0.82%之间;小市值样本而言,策略本周回报在-4.18%-4.69%之间,超额回报在0.98%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%.

 

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%

 



推荐 0