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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527日的当周)回报在1.46%1.58%之间,超额回报在0.83%0.94%之间;小市值样本而言,策略本周回报在2.31%2.66%之间,超额回报在1.42%1.66%之间。今年以来,全样本下策略的超额回报最高达6.21%,小市值样本下的超额回报最高达10.70%  

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

1.46%

0.83%

-4.61%

0.75%

14.66%

6.21%

ic_ir>0.5

1.58%

0.94%

-4.32%

0.69%

14.56%

5.87%

rankic_ir>0.3

1.46%

0.83%

-4.61%

0.75%

14.21%

5.91%

rankic_ir>0.5

1.58%

0.94%

-4.32%

0.69%

14.56%

5.87%

t>1.5

1.47%

0.83%

-4.57%

0.79%

14.24%

5.94%

t>2.0

1.58%

0.94%

-4.32%

0.69%

14.56%

5.87%

小市值

ic_ir>0.3

2.53%

1.42%

-6.74%

0.44%

25.48%

10.70%

ic_ir>0.5

2.31%

1.66%

-5.87%

0.62%

23.73%

8.48%

rankic_ir>0.3

2.53%

1.42%

-6.74%

0.44%

22.41%

8.02%

rankic_ir>0.5

2.31%

1.66%

-5.87%

0.62%

22.66%

7.41%

t>1.5

2.66%

1.42%

-6.25%

0.95%

20.37%

6.02%

t>2.0

2.31%

1.66%

-5.87%

0.62%

23.73%

8.48%

 



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