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7月1日的当周）回报在4.69%至4.99%之间，超额回报在0.76%至1.06%之间；小市值样本而言，策略本周回报在5.49%至6.19%之间，超额回报在0.93%至1.55%之间。今年以来，全样本下策略的超额回报最高达9.18%，小市值样本下的超额回报最高达11.88%。（邓剑兰）
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 |
7月以来回报 |
7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 |
4.99% |
1.06% |
0.46% |
0.50% |
-5.33% |
9.18% |
|
ic_ir>0.5 |
4.92% |
0.97% |
0.47% |
0.56% |
-5.45% |
8.85% |
|
|
rankic_ir>0.3 |
4.69% |
0.76% |
0.46% |
0.50% |
-6.16% |
8.63% |
|
|
rankic_ir>0.5 |
4.92% |
0.97% |
0.47% |
0.56% |
-5.45% |
8.85% |
|
|
t>1.5 |
4.69% |
0.76% |
0.46% |
0.50% |
-5.77% |
8.87% |
|
|
t>2.0 |
4.92% |
0.97% |
0.47% |
0.56% |
-5.45% |
8.85% |
|
|
小市值 |
ic_ir>0.3 |
5.53% |
0.93% |
0.26% |
0.14% |
2.21% |
11.88% |
|
ic_ir>0.5 |
6.19% |
1.55% |
0.49% |
0.41% |
1.86% |
10.81% |
|
|
rankic_ir>0.3 |
5.49% |
0.89% |
0.26% |
0.14% |
-0.31% |
9.63% |
|
|
rankic_ir>0.5 |
6.19% |
1.55% |
0.49% |
0.41% |
0.98% |
9.93% |
|
|
t>1.5 |
5.89% |
1.29% |
0.36% |
0.25% |
-0.93% |
9.10% |
|
|
t>2.0 |
6.19% |
1.55% |
0.49% |
0.41% |
1.83% |
10.78% |
0
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