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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71日的当周)回报在4.69%4.99%之间,超额回报在0.76%1.06%之间;小市值样本而言,策略本周回报在5.49%6.19%之间,超额回报在0.93%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)

 

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%

 

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