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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624日的当周)回报在0.42%0.47%之间,超额回报在0.68%0.77%之间;小市值样本而言,策略本周回报在-0.87%-0.30%之间,超额回报在-0.19%0.31%之间。今年以来,全样本下策略的超额回报最高达7.92%,小市值样本下的超额回报最高达10.49%  

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

0.47%

0.77%

7.60%

1.59%

-9.83%

7.92%

ic_ir>0.5

0.42%

0.68%

8.15%

1.94%

-9.88%

7.67%

rankic_ir>0.3

0.45%

0.74%

7.91%

1.89%

-10.37%

7.65%

rankic_ir>0.5

0.42%

0.68%

8.15%

1.94%

-9.88%

7.67%

t>1.5

0.45%

0.74%

7.91%

1.89%

-10.00%

7.88%

t>2.0

0.42%

0.68%

8.15%

1.94%

-9.88%

7.67%

小市值

ic_ir>0.3

-0.73%

-0.05%

7.90%

1.05%

-3.15%

10.49%

ic_ir>0.5

-0.30%

0.13%

8.78%

1.64%

-4.07%

8.91%

rankic_ir>0.3

-0.87%

-0.19%

8.40%

1.55%

-5.50%

8.40%

rankic_ir>0.5

-0.30%

0.13%

8.78%

1.64%

-4.90%

8.08%

t>1.5

-0.37%

0.31%

9.13%

2.27%

-6.45%

7.54%

t>2.0

-0.30%

0.13%

8.78%

1.64%

-4.10%

8.88%

 

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