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5月6日的当周）回报在-0.29%至-0.19%之间，超额回报在-0.62%至-0.34%之间；小市值样本而言，策略本周回报在-1.19%至-0.52%之间，超额回报在-1.19%至-0.73%之间。今年以来，全样本下策略的超额回报最高达0.35%，小市值样本下的超额回报最高达5.99%。
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 |
今年以来回报 |
今年以来超额回报 |
|
全样本 |
ic_ir>0.3 |
-0.29% |
-0.62% |
-0.29% |
0.34% |
|
ic_ir>0.5 |
-0.19% |
-0.34% |
-0.19% |
0.15% |
|
|
rankic_ir>0.3 |
-0.29% |
-0.62% |
-0.29% |
0.34% |
|
|
rankic_ir>0.5 |
-0.19% |
-0.34% |
-0.19% |
0.15% |
|
|
t>1.5 |
-0.27% |
-0.62% |
-0.27% |
0.35% |
|
|
t>2.0 |
-0.19% |
-0.34% |
-0.19% |
0.15% |
|
|
小市值 |
ic_ir>0.3 |
-1.19% |
-1.19% |
19.86% |
5.99% |
|
ic_ir>0.5 |
-0.52% |
-0.73% |
19.50% |
5.47% |
|
|
rankic_ir>0.3 |
-1.19% |
-1.19% |
19.39% |
5.68% |
|
|
rankic_ir>0.5 |
-0.52% |
-0.73% |
19.50% |
5.47% |
|
|
t>1.5 |
-1.10% |
-1.18% |
19.38% |
5.67% |
|
|
t>2.0 |
-0.52% |
-0.73% |
19.50% |
5.47% |
0
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