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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520日的当周)回报在0.73%0.95%之间,超额回报在0.41%0.48%之间;小市值样本而言,策略本周回报在1.28%1.51%之间,超额回报在0.55%0.62%之间。今年以来,全样本下策略的超额回报最高达5.46%,小市值样本下的超额回报最高达9.22%

 

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

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

0.73%

0.41%

-5.98%

0.15%

13.01%

5.46%

ic_ir>0.5

0.95%

0.48%

-5.81%

0.09%

12.78%

5.10%

rankic_ir>0.3

0.73%

0.41%

-5.98%

0.15%

12.57%

5.16%

rankic_ir>0.5

0.95%

0.48%

-5.81%

0.09%

12.78%

5.10%

t>1.5

0.75%

0.41%

-5.95%

0.18%

12.59%

5.18%

t>2.0

0.95%

0.48%

-5.81%

0.09%

12.78%

5.10%

小市值

ic_ir>0.3

1.37%

0.55%

-9.04%

-0.55%

22.39%

9.22%

ic_ir>0.5

1.51%

0.62%

-8.00%

0.02%

20.93%

7.57%

rankic_ir>0.3

1.37%

0.55%

-9.04%

-0.55%

19.39%

6.60%

rankic_ir>0.5

1.51%

0.62%

-8.00%

0.02%

19.89%

6.53%

t>1.5

1.28%

0.56%

-8.68%

-0.18%

17.24%

4.50%

t>2.0

1.51%

0.62%

-8.00%

0.02%

20.93%

7.57%



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