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13日的当周）回报在-6.52%至-6.39%之间，超额回报在-6.02%至-5.92%之间；小市值样本而言，策略本周回报在-9.19%至-8.83%之间，超额回报在-7.929%至-7.90%之间。今年以来，全样本下策略的超额回报最高达5.07%，小市值样本下的超额回报最高达8.19%。
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 |
5月以来回报 |
5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 |
-6.40% |
-5.92% |
-6.67% |
-0.15% |
12.19% |
5.07% |
|
ic_ir>0.5 |
-6.52% |
-6.02% |
-6.70% |
-0.35% |
11.71% |
4.54% |
|
|
rankic_ir>0.3 |
-6.40% |
-5.92% |
-6.67% |
-0.15% |
11.75% |
4.77% |
|
|
rankic_ir>0.5 |
-6.52% |
-6.02% |
-6.70% |
-0.35% |
11.71% |
4.54% |
|
|
t>1.5 |
-6.39% |
-5.92% |
-6.65% |
-0.14% |
11.75% |
4.77% |
|
|
t>2.0 |
-6.52% |
-6.02% |
-6.70% |
-0.35% |
11.71% |
4.54% |
|
|
小市值 |
ic_ir>0.3 |
-9.19% |
-7.90% |
-10.27% |
-1.28% |
20.74% |
8.19% |
|
ic_ir>0.5 |
-8.90% |
-7.91% |
-9.37% |
-0.78% |
19.13% |
6.47% |
|
|
rankic_ir>0.3 |
-9.19% |
-7.90% |
-10.27% |
-1.28% |
17.78% |
5.61% |
|
|
rankic_ir>0.5 |
-8.90% |
-7.91% |
-9.37% |
-0.78% |
18.10% |
5.44% |
|
|
t>1.5 |
-8.83% |
-7.92% |
-9.83% |
-0.83% |
15.76% |
3.64% |
|
|
t>2.0 |
-8.90% |
-7.91% |
-9.37% |
-0.78% |
19.13% |
6.47% |
0
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