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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617日的当周)回报在-0.02%-0.11%之间,超额回报在0.51%0.61%之间;小市值样本而言,策略本周回报在-0.01%0.50%之间,超额回报在0.13%0.63%之间。今年以来,全样本下策略的超额回报最高达7.25%,小市值样本下的超额回报最高达10.62%

 

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

6月以来回报

6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

-0.02%

0.57%

7.10%

0.77%

-10.26%

7.25%

ic_ir>0.5

-0.11%

0.61%

7.70%

1.21%

-10.26%

7.07%

rankic_ir>0.3

-0.08%

0.51%

7.43%

1.11%

-10.77%

7.01%

rankic_ir>0.5

-0.11%

0.61%

7.70%

1.21%

-10.26%

7.07%

t>1.5

-0.08%

0.51%

7.43%

1.11%

-10.40%

7.24%

t>2.0

-0.11%

0.61%

7.70%

1.21%

-10.26%

7.07%

小市值

ic_ir>0.3

-0.01%

0.13%

8.70%

1.11%

-2.44%

10.62%

ic_ir>0.5

-0.01%

0.39%

9.11%

1.50%

-3.78%

8.82%

rankic_ir>0.3

0.50%

0.63%

9.35%

1.76%

-4.67%

8.64%

rankic_ir>0.5

-0.01%

0.39%

9.11%

1.50%

-4.61%

7.99%

t>1.5

0.34%

0.47%

9.54%

1.95%

-6.10%

7.30%

t>2.0

-0.01%

0.39%

9.11%

1.50%

-3.81%

8.79%

 

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